ClippedCov-class: Class to calculate copula covariances from a time series with...
In quantspec: Quantile-Based Spectral Analysis of Time Series
ClippedCov-class R Documentation
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 < \code{maxLag} the copula covariances
Cov(1_{X_0 < \tau_1},1_{X_k < \tau_2})
and writes it to values[k] from its superclass LagOperator.
Description
For each lag k = 0, ..., maxLag and combination of levels
(\tau_1, \tau_2) from levels.1 x levels.2 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 values.
Details
Currently, the implementation of this class allows only for the analysis of
univariate time series.
quantspec documentation built on Sept. 11, 2024, 9:15 p.m.
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| ClippedCov-class | R Documentation |
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 < \code{maxLag} the copula covariances
Cov(1_{X_0 < \tau_1},1_{X_k < \tau_2})
and writes it to values[k] from its superclass LagOperator.
Description
For each lag k = 0, ..., maxLag and combination of levels
(\tau_1, \tau_2) from levels.1 x levels.2 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 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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