ClippedCov-constructor: Create an instance of the 'ClippedCov' class.

In quantspec: Quantile-Based Spectral Analysis of Time Series

Create an instance of the ClippedCov class.

Description

Create an instance of the ClippedCov class.

Usage

clippedCov(
  Y,
  maxLag = length(Y) - 1,
  levels.1 = c(0.5),
  levels.2 = levels.1,
  isRankBased = TRUE,
  B = 0,
  l = 0,
  type.boot = c("none", "mbb")
)

Arguments

Y	Time series to calculate the copula covariance from
maxLag	maximum lag between observations that should be used
levels.1	a vector of numerics that determines the level of clipping
levels.2	a vector of numerics that determines the level of clipping
isRankBased	If true the time series is first transformed to pseudo data; currently only rank-based estimation is possible.
B	number of bootstrap replications
l	(expected) length of blocks
type.boot	A flag to choose a method for the block bootstrap; currently two options are implemented: "none" and "mbb" which means to do a moving blocks bootstrap with B and l as specified.

Value

Returns an instance of ClippedCov.

See Also

LagOperator

Examples

ccf <- clippedCov(rnorm(200), maxLag = 25, levels.1 = c(0.1,0.5,0.9))
dim(getValues(ccf))
#print values for levels (.5,.5)
plot(ccf, maxLag = 20)

quantspec documentation built on Sept. 11, 2024, 9:15 p.m.