ClippedCov-class: Class to calculate copula covariances from a time series with...
In quantspec: Quantile-Based Spectral Analysis of Time Series
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.
quantspec documentation built on July 15, 2020, 1:07 a.m.
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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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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