ClippedCov-class {quantspec}

Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (\tau_1,\tau_2) and for all k < \code{maxLag} the copula covariances Cov(1_{X_0 < \tau_1},1_{X_k < \tau_2}) and writes it to values[k] from its superclass LagOperator.

Description

For each lag k = 0, ..., maxLag and combination of levels (\tau_1, \tau_2) from levels.1 x levels.2 the statistic

\frac{1}{n} \sum_{t=1}^{n-k} ( I\{\hat F_n(Y_t) \leq \tau_1\} - \tau_1) ( I\{\hat F_n(Y_{t+k}) \leq \tau_2\} - \tau_2)

is determined and stored to the array values.

Details

Currently, the implementation of this class allows only for the analysis of univariate time series.