ols_get: Ordinary Least Squares Estimator for Log-Spectral Regression

In CepReg: A Cepstral Model for Covariate-Dependent Time Series

Ordinary Least Squares Estimator for Log-Spectral Regression

Description

Performs OLS regression to estimate the association between covariates and cepstral coefficients.

Usage

ols_get(X, f, frq, nbase)

Arguments

X	A numeric matrix of predictors (N x P).
f	A numeric matrix of cepstral coefficients.
frq	A vector of frequencies in [0,1].
nbase	Number of Fourier basis functions.

Value

A list containing:

alph

Intercept vector.

bet

OLS coefficient matrix.

spechat

Estimated smoothed log-spectra.

res

Matrix of residuals.

Examples

frq <- seq(0, 1, length.out = 16)[2:8]
n <- 10
p <- 3
nbase <- 5
X <- matrix(rnorm(n * p), n, p)
f <- matrix(rnorm(n * nbase), n, nbase)

ols_result <- ols_get(X, f, frq, nbase)

CepReg documentation built on Sept. 10, 2025, 10:38 a.m.