LagOperator-class {quantspec}

Interface Class to access different types of operators on time series.

Description

LagOperator is an S4 class that provides a common interface to implementations of an operator \Gamma(Y) which is calculated on all pairs of observations (Y_0,Y_k) with lag smaller than maxLag

Details

Currently one implementation is available: (1) ClippedCov.

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

Slots

values

an array of dimension c(maxLag,length(levels.1),length(levels.2)) containing the values of the operator.

Y

is the time series the operator shall be applied to

maxLag

maximum lag between two observations

levels

a vector of numerics that determines the levels of the operator

isRankBased

A flag that is FALSE if the determined values are based on the original time series and TRUE if it is based on the ranks.

positions.boot

An object of type BootPos, that is used to determine the block bootstrapped replicates of the time series.

B

Number of bootstrap replications to perform.