getSdNaive-LagEstimator: Get estimates for the standard deviation of the lagEstimator...

In quantspec: Quantile-Based Spectral Analysis of Time Series

Get estimates for the standard deviation of the lagEstimator derived from the asymptotics (see Birr et al (2015))

Description

Determines and returns an array of dimension [J,K1,K2], where J=length(frequencies), K1=length(levels.1), and K2=length(levels.2)). At position (j,k1,k2) the returned value is the standard deviation estimated corresponding to frequencies[j], levels.1[k1] and levels.2[k2] that are closest to the frequencies, levels.1 and levels.2 available in object; closest.pos is used to determine what closest to means.

Usage

## S4 method for signature 'LagEstimator'
getSdNaive(
  object,
  frequencies = 2 * pi * (0:(length(object@Y) - 1))/length(object@Y),
  levels.1 = getLevels(object, 1),
  levels.2 = getLevels(object, 2)
)

Arguments

object	LagEstimator of which to get the estimates for the standard deviation.
frequencies	a vector of frequencies for which to get the result
levels.1	the first vector of levels for which to get the result
levels.2	the second vector of levels for which to get the result

Details

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.

Value

Returns the estimate described above.

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