LagEstimator-class: Class for a lag-window type estimator.
In quantspec: Quantile-Based Spectral Analysis of Time Series

For a given time series Y a lag-window estimator of the Form

\hat{f}(ω) = ∑_{|k|< n-1 } K_n(k) Γ(Y_0,Y_k) \exp(-i ω k)

will be calculated on initalization. The LagKernelWeight K_n is determined by the slot weight and the LagOperator Γ(Y_0,Y_k) is defined by the slot lagOp.

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

Y

the time series where the lag estimator was applied one

weight

a Weight object to be used as lag window

lagOp

a LagOperator object that determines which kind of bivariate structure should be calculated.

env

An environment to allow for slots which need to be accessable in a call-by-reference manner:

sdNaive: An array used for storage of the naively estimated standard deviations of the smoothed periodogram.
sdNaive.done: a flag indicating whether sdNaive has been set yet.