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

In quantspec: Quantile-Based Spectral Analysis of Time Series

Description

A LagEstimator object can be created from numeric, a ts, or a zoo object. Also a LagOperator and a Weight object can be used to create different types of estimators.

Usage

lagEstimator(
  Y,
  frequencies = 2 * pi/length(Y) * 0:(length(Y) - 1),
  levels.1 = 0.5,
  levels.2 = levels.1,
  weight = lagKernelWeight(K = length(Y), bw = 100),
  type = c("clippedCov")
)

Arguments

Y	a time series (numeric, ts, or zoo object) or a LagOperator from which to determine the LagEstimator
frequencies	A vector containing (Fourier-)frequencies at which to determine the smoothed periodogram.
levels.1	the first vector of levels for which to compute the LagEstimator
levels.2	the second vector of levels for which to compute the LagEstimator
weight	Object of type Weight to be used for smoothing.
type	if Y is a time series, this indicates which LagOperator will be used

Value

Returns an instance of LagEstimator.

Examples

Y <- rnorm(100)
levels.1 <- c(0.1,0.5,0.9)
weight <- lagKernelWeight(W = WParzen,  bw = 10, K = length(Y))
lagOp <- clippedCov(Y,levels.1 = levels.1)
lagEst <- lagEstimator(lagOp, weight = weight)

quantspec documentation built on July 15, 2020, 1:07 a.m.