LagOperator-class

LagOperator

<code>LagOperator</code> is an S4 class that provides a common interface to
implementations of an operator \(\Gamma(Y)\) which is calculated on 
all pairs of observations \((Y_0,Y_k)\) with lag smaller than maxLag

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

LagOperator-class function

<dl>
<dt><code>values</code></dt>
<dd>an array of dimension <code>c(maxLag,length(levels.1),length(levels.2))</code>
containing the values of the operator.</dd></dl>
<dt><code>Y</code></dt>
<dd>is the time series the operator shall be applied to</dd>
<dt><code>maxLag</code></dt>
<dd>maximum lag between two observations</dd>
<dt><code>levels</code></dt>
<dd>a vector of numerics that determines the levels of the operator</dd>
<dt><code>isRankBased</code></dt>
<dd>A flag that is <code>FALSE</code> if the determined <code>values</code>
are based on the original time series and <code>TRUE</code> if it
is based on the ranks.</dd>
<dt><code>positions.boot</code></dt>
<dd>An object of type <code>BootPos</code>,
that is used to determine the block bootstrapped
replicates of the time series.</dd>
<dt><code>B</code></dt>
<dd>Number of bootstrap replications to perform.</dd>

Slots

Interface Class to access different types of operators on time series. — LagOperator-class

<dl>
<dt><code>values</code></dt>
<dd>an array of dimension <code>c(maxLag,length(levels.1),length(levels.2))</code>
containing the values of the operator.</dd>


<dt><code>Y</code></dt>
<dd>is the time series the operator shall be applied to</dd>


<dt><code>maxLag</code></dt>
<dd>maximum lag between two observations</dd>


<dt><code>levels</code></dt>
<dd>a vector of numerics that determines the levels of the operator</dd>


<dt><code>isRankBased</code></dt>
<dd>A flag that is <code>FALSE</code> if the determined <code>values</code>
are based on the original time series and <code>TRUE</code> if it
is based on the ranks.</dd>


<dt><code>positions.boot</code></dt>
<dd>An object of type <code>BootPos</code>,
that is used to determine the block bootstrapped
replicates of the time series.</dd>


<dt><code>B</code></dt>
<dd>Number of bootstrap replications to perform.</dd>


</dl>

LagOperator-class: Interface Class to access different types of operators on time series.

Description

Arguments

Slots

Details