quantspec (version 1.2-4)

ClippedCov-constructor: Create an instance of the ClippedCov class.

Description

Create an instance of the ClippedCov class.

Usage

clippedCov(
  Y,
  maxLag = length(Y) - 1,
  levels.1 = c(0.5),
  levels.2 = levels.1,
  isRankBased = TRUE,
  B = 0,
  l = 0,
  type.boot = c("none", "mbb")
)

Value

Returns an instance of ClippedCov.

Arguments

Y

Time series to calculate the copula covariance from

maxLag

maximum lag between observations that should be used

levels.1

a vector of numerics that determines the level of clipping

levels.2

a vector of numerics that determines the level of clipping

isRankBased

If true the time series is first transformed to pseudo data; currently only rank-based estimation is possible.

B

number of bootstrap replications

l

(expected) length of blocks

type.boot

A flag to choose a method for the block bootstrap; currently two options are implemented: "none" and "mbb" which means to do a moving blocks bootstrap with B and l as specified.

See Also

LagOperator

Examples

ccf <- clippedCov(rnorm(200), maxLag = 25, levels.1 = c(0.1,0.5,0.9))
dim(getValues(ccf))
#print values for levels (.5,.5)
plot(ccf, maxLag = 20)