SpecDistrWeight-class: Class for weights to estimate integrated spectral density...
In quantspec: Quantile-Based Spectral Analysis of Time Series

SpecDistrWeight-class

R Documentation

Class for weights to estimate integrated spectral density kernels.

Description

SpecDistrWeight is an S4 class that implements a weighting function given by

W_n(\alpha) := I\{\alpha \leq 0\}

Details

At position k the value W_n(2\pi (k-1)/n is stored [in a vector values nested inside env] for k=1,...,T. The number length(values) of Fourier frequencies for which W_n will be evaluated may be set on construction or updated when evoking the method getValues.