ClippedCov-class

ClippedCov

<p>For each lag <code>k = 0, ..., maxLag</code> and combination of levels
$(\tau_1, \tau_2)$ from <code>levels.1 x levels.2</code> the
statistic
$$\frac{1}{n} \sum_{t=1}^{n-k} ( I\{\hat F_n(Y_t) \leq \tau_1\} - \tau_1) ( I\{\hat F_n(Y_{t+k}) \leq \tau_2\} - \tau_2)$$
is determined and stored to the array <code>values</code>.</p>

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

ClippedCov-class function

Class to calculate copula covariances from a time series with given levels.
 
Calculates for each combination of levels $(\tau_1,\tau_2)$ 
and for all $k &lt; \code{maxLag}$ the copula covariances
$Cov(1_{X_0 &lt; \tau_1},1_{X_k &lt; \tau_2})$
and writes it to values[k] from its superclass LagOperator. — ClippedCov-class

Class to calculate copula covariances from a time series with given levels.
 
Calculates for each combination of levels $(\tau_1,\tau_2)$ 
and for all $k &lt; \code{maxLag}$ the copula covariances
$Cov(1_{X_0 &lt; \tau_1},1_{X_k &lt; \tau_2})$
and writes it to <code>values[k]</code> from its superclass <code>LagOperator</code>.

Description

Arguments

Details