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quantspec (version 1.2-4)

SpecDistrWeight-class: Class for weights to estimate integrated spectral density kernels.

Description

SpecDistrWeight is an S4 class that implements a weighting function given by $$W_n(\alpha) := I\{\alpha \leq 0\}$$.

Arguments

Details

At position k the value \(W_n(2\pi (k-1)/n\) is stored [in a vector values nested inside env] for k=1,...,T. The number length(values) of Fourier frequencies for which \(W_n\) will be evaluated may be set on construction or updated when evoking the method getValues.