ClippedCov-class: Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (tau1,tau2) and for all k

Description

For each lag k = 0, ..., maxLag and combination of levels (tau1, tau2) from levels.1 x levels.2 the statistic

\frac{1}{n} ∑_{t=1}^{n-k} ( I\{\hat F_n(Y_t) ≤q τ_1\} - τ_1) ( I\{\hat F_n(Y_{t+k}) ≤q τ_2\} - τ_2)

is determined and stored to the array values.

Details

Currently, the implementation of this class allows only for the analysis of univariate time series.


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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