Get estimates for the standard deviation of the lagEstimator derived from the asymptotics (see Birr et al (2015))
Determines and returns an array of dimension
(j,k1,k2) the returned value is the standard deviation
estimated corresponding to
levels.2[k2] that are closest to the
levels.2 available in
used to determine what closest to means.
1 2 3 4
a vector of frequencies for which to get the result
the first vector of levels for which to get the result
the second vector of levels for which to get the result
Requires that the
LagEstimator is available at all Fourier
frequencies from (0,pi]. If this is not the case the missing
values are imputed by taking one that is available and has a frequency
that is closest to the missing Fourier frequency;
closest.pos is used
to determine which one this is.
Note the “standard deviation” estimated here is not the square root of the complex-valued variance. It's real part is the square root of the variance of the real part of the estimator and the imaginary part is the square root of the imaginary part of the variance of the estimator.
Returns the estimate described above.