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`

.

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

quantspec documentation built on May 29, 2017, 3:34 p.m.

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