.computeCoherency {quantspec}

Workhorse function for getCoherency-SmoothedPG.

Description

C++ implementation to increase performance.

Arguments

V

a 3-dimensional array of complex numbers; dimensions are [N, K1, K2], where N frequencies are \omega_j := 2\pi j/N for j=0,\ldots,N.

W

a vector of length W of length N used for smoothing.

Value

Returns an array with complex numbers \sigma(\tau_1, \tau_2, \omega_j as defined in Kley et. al (2016), p. 26.

References

Barunik, J. & Kley, T. (2019). Quantile Coherency: A General Measure for Dependence Between Cyclical Economic Variables. Econometrics Journal, 22, 131–152. http://arxiv.org/abs/1401.8104.