Determines and returns an array of dimension
available or not, boostrap repetitions are ignored by this procedure.
the returned value is the standard deviation estimated corresponding to
levels.2[k2] that are
closest to the
closest.pos is used to determine
what closest to means.
1 2 3 4 5 6 7 8 9 10 11
## S4 method for signature 'SmoothedPG' getSdNaive( object, frequencies = 2 * pi * (0:(lenTS(object@qPG@freqRep@Y) - 1))/lenTS(object@qPG@freqRep@Y), levels.1 = getLevels(object, 1), levels.2 = getLevels(object, 2), d1 = 1:(dim(object@values)), d2 = 1:(dim(object@values)), impl = c("R", "C") )
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
optional parameter that determine for which j1 to return the data; may be a vector of elements 1, ..., D
same as d1, but for j2
choose "R" or "C" for one of the two implementations available
If not only one, but multiple time series are under study, the dimension of
the returned vector is of dimension
denotes the dimension of the time series.
Requires that the
SmoothedPG 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.
A precise definition on how the standard deviations of the smoothed quantile periodogram are estimated is given in Barunik&Kley (2015).
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.
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]
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