LagEstimator-class {quantspec}

Class for a lag-window type estimator.

Description

For a given time series Y a lag-window estimator of the Form

\hat{f}(\omega) = \sum_{|k|< n-1 } K_n(k) \Gamma(Y_0,Y_k) \exp(-i \omega k)

will be calculated on initalization. The LagKernelWeight K_n is determined by the slot weight and the LagOperator \Gamma(Y_0,Y_k) is defined by the slot lagOp.

Details

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

Slots

Y

the time series where the lag estimator was applied one

weight

a Weight object to be used as lag window

lagOp

a LagOperator object that determines which kind of bivariate structure should be calculated.

env

An environment to allow for slots which need to be accessable in a call-by-reference manner:

sdNaive

An array used for storage of the naively estimated standard deviations of the smoothed periodogram.

sdNaive.done

a flag indicating whether sdNaive has been set yet.