ClippedFT-class: Class for Fourier transform of the clipped time series.
Description
ClippedFT is an S4 class that implements the
necessary calculations to determine the Fourier transform
of the clipped time series. As a subclass to
FreqRep it inherits slots and methods defined
there; it servers as a frequency representation of a time
series as described in Kley et. al (2014).Details
For each frequency $\omega$ from frequencies and
level q from levels the statistic
$$\sum_{t=0}^{n-1} I{Y_t \leq q} \mbox{e}^{-\mbox{i}
\omega t}$$ is determined and stored to the array
values. Internally the methods
mvfft and fft are
used to achieve good performance.
Note that, all remarks made in the documentation of the
super-class FreqRep apply.References
Kley, T., Volgushev, S., Dette, H. & Hallin, M. (2014).
Quantile Spectral Processes: Asymptotic Analysis and
Inference. http://arxiv.org/abs/1401.8104.See Also
For an example see FreqRep.