SmoothedPG-class: Class for a smoothed quantile periodogram.
In quantspec: Quantile-Based Spectral Analysis of Time Series

Description Details Slots

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).

For a QuantilePG Qn(w,x1,x2) and a Weight Wn(.) the smoothed version

\frac{2π}{n} ∑_{s=1}^{n-1} W_n(ω-2π s / n) Q^{j_1, j_2}_n(2π s / n, x_1, x_2)

is determined.

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

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