dot-computeSdNaive function

Workhorse function for getSdNaive-SmoothedPG.

Workhorse function for getSdNaive-SmoothedPG.

C++ implementation to increase performance.

Arguments

  • V: a 3-dimensional array of complex numbers; dimensions are [N, K1, K2], where N frequencies are ωj:=2πj/N\omega_j := 2\pi j/N for j=0,,Nj=0,\ldots,N.
  • W: a vector of length W of length N used for smoothing.

Returns

Returns an array with complex numbers σ(τ1,τ2,ωj\sigma(\tau_1, \tau_2, \omega_j as defined in Kley et. al (2016), p. 26.

References

Dette, H., Hallin, M., Kley, T. & Volgushev, S. (2015). Of Copulas, Quantiles, Ranks and Spectra: an L1L1-approach to spectral analysis. Bernoulli, 21 (2), 781--831. [cf. http://arxiv.org/abs/1111.7205]

  • Maintainer: Tobias Kley
  • License: GPL (>= 2)
  • Last published: 2024-07-11