SmoothedPG-class: Class for a smoothed quantile periodogram.

In quantspec: Quantile-Based Spectral Analysis of Time Series

Class for a smoothed quantile periodogram.

Description

SmoothedPG is an S4 class that implements the necessary calculations to determine a smoothed version of one of the quantile periodograms defined in Dette et. al (2015), Kley et. al (2016) and Barunik&Kley (2015).

Details

For a QuantilePG Q^{j_1, j_2}_n(\omega, x_1, x_2) and a Weight W_n(\cdot) the smoothed version

\frac{2\pi}{n} \sum_{s=1}^{n-1} W_n(\omega-2\pi s / n) Q^{j_1, j_2}_n(2\pi s / n, x_1, x_2)

is determined.

The convolution required to determine the smoothed periodogram is implemented using convolve.

Slots

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.freq

a vector indicating for which frequencies sdNaive has been computed so far.

sdNaive.done

a flag indicating whether sdNaive has been set yet.

sdBoot

An array used for storage of the standard deviations of the smoothed periodogram, estimated via bootstrap.

sdBoot.done

a flag indicating whether sdBoot.naive has been set yet.

qPG

the QuantilePG to be smoothed

weight

the Weight to be used for smoothing

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