Description Details Slots References
QRegEstimator
is an S4 class that implements the necessary
calculations to determine the frequency representation based on the weigthed
L1-projection of a time series as described in
Dette et. al (2015). As a subclass to FreqRep
it inherits slots and methods defined there.
For each frequency w from frequencies
and level
tau from levels
the statistic
\hat b^{τ}_n(ω) := \arg\max_{a \in R, b \in C} ∑_{t=0}^{n-1} ρ_{τ}(Y_t - a - Re(b) \cos(ω t) - Im(b) \sin(ω t)),
is determined and stored to the array values
.
The solution to the minimization problem is determined using the function
rq
from the quantreg package.
All remarks made in the documentation of the super-class
FreqRep
apply.
method
method used for computing the quantile regression estimates.
The choice is passed to qr
; see the
documentation of quantreg
for details.
parallel
a flag that signalizes that parallelization mechanisms from the package snowfall may be used.
Dette, H., Hallin, M., Kley, T. & Volgushev, S. (2015). Of Copulas, Quantiles, Ranks and Spectra: an L1-approach to spectral analysis. Bernoulli, 21(2), 781–831. [cf. http://arxiv.org/abs/1111.7205]
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