LagEstimator-class

LagEstimator

For a given time series Y a lag-window estimator of the Form
$$\hat{f}(\omega) = \sum_{|k|&lt; n-1 } K_n(k) \Gamma(Y_0,Y_k) \exp(-i \omega k)$$ 
will be calculated on initalization. The <code>LagKernelWeight</code> K_n is determined
by the slot <code>weight</code> and the <code>LagOperator</code> $\Gamma(Y_0,Y_k)$ is defined 
by the slot lagOp.

S4-classes

Methods to determine, smooth and plot quantile periodograms for
univariate and multivariate time series. See Kley (2016) <doi:10.18637/jss.v070.i03>
for a description and tutorial.

Tobias Kley

quantspec

Quantile-Based Spectral Analysis of Time Series

Stefan Birr

LagEstimator-class function

<dl>
<dt><code>Y</code></dt>
<dd>the time series where the lag estimator was applied one</dd></dl>
<dt><code>weight</code></dt>
<dd>a <code>Weight</code> object to be used as lag window</dd>
<dt><code>lagOp</code></dt>
<dd>a <code>LagOperator</code> object that determines which
kind of bivariate structure should be calculated.</dd>
<dt><code>env</code></dt>
<dd>An environment to allow for slots which need to be
accessable in a call-by-reference manner:<dl>
 <dt><code>sdNaive</code></dt>
<dd>An array used for storage of the naively
 estimated standard deviations of the smoothed periodogram.</dd></dl></dd> <dt><code>sdNaive.done</code></dt>
<dd>a flag indicating whether <code>sdNaive</code>
 has been set yet.</dd>

Slots

Class for a lag-window type estimator. — LagEstimator-class

<dl>
<dt><code>Y</code></dt>
<dd>the time series where the lag estimator was applied one</dd>


<dt><code>weight</code></dt>
<dd>a <code>Weight</code> object to be used as lag window</dd>


<dt><code>lagOp</code></dt>
<dd>a <code>LagOperator</code> object that determines which
kind of bivariate structure should be calculated.</dd>


<dt><code>env</code></dt>
<dd>An environment to allow for slots which need to be
accessable in a call-by-reference manner:<dl>
 <dt><code>sdNaive</code></dt>
<dd>An array used for storage of the naively
 estimated standard deviations of the smoothed periodogram.</dd>

 <dt><code>sdNaive.done</code></dt>
<dd>a flag indicating whether <code>sdNaive</code>
 has been set yet.</dd>

</dl></dd>


</dl>

LagEstimator-class: Class for a lag-window type estimator.

Description

Arguments

Slots

Details