Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (tau1,tau2) and for all k<maxLag the copula covariances Cov(Ind{X0<tau1},Ind{Xk<tau2}) and writes it to values[k] from its superclass LagOperator.

Description

For each lag k = 0, ..., maxLag and combination of levels (tau1, tau2) from levels.1 x levels.2 the statistic

\frac{1}{n} ∑_{t=1}^{n-k} ( I\{\hat F_n(Y_t) ≤q τ_1\} - τ_1) ( I\{\hat F_n(Y_{t+k}) ≤q τ_2\} - τ_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.