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QPBoot (version 0.2)

QPBoot-constructor: qpBoot

Description

Create an instance of the QPBoot class by doing 3 things

  1. Estimates a parametric model from a given set of data, this estimate can be overwritten by using the parameter fix.param

  2. Simulates from that model and computes the smoothed Quantile Periodogram (smoothedPG) for each simulated time series and the given data

  3. Returns an object of the class QPBoot with the calculated smoothed Periodograms

Usage

qpBoot(data, model = getARMA(list(ar.order = 2, ma.order = 0)),
  levels = c(0.1, 0.5, 0.9), frequencies = 2 * pi/length(data) *
  0:(length(data) - 1), weight = kernelWeight(bw = 0.1), SimNum = 1000,
  fix.param = NULL)

Arguments

data

numeric vector, containing the time-series data

model

an object from the class tsModel-class.

levels

numeric vector containing values between 0 and 1 for which the smoothedPG. Will be estimated. These are the quantiles levels that are used for the validation

frequencies

a vector containing frequencies at which to determine the smoothed periodogram.

weight

an object of the class KernelWeight that is used to in the estimation of the smoothedPG.

SimNum

number of bootstrap

fix.param

defaults to NULL. In this case the parameters for the simulations are estimated via the methode defined in the argument model. If this is not NULL, it has to contain a list that can be used to set the parameters in the tsModel-class. All simulations are then done with these fixed parameters.