dot-computeSdNaive: Workhorse function for 'getSdNaive-SmoothedPG'.

In quantspec: Quantile-Based Spectral Analysis of Time Series

Description

C++ implementation to increase performance.

Arguments

V	a 3-dimensional array of complex numbers; dimensions are [N, K1, K2], where N frequencies are ω_j := 2π j/N for j=0,…,N.
W	a vector of length W of length N used for smoothing.

Value

Returns an array with complex numbers σ(τ_1, τ_2, ω_j as defined in Kley et. al (2016), p. 26.

References

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]

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