common-arguments: List of common arguments

Description Arguments

Description

Common arguments used in several functions in this package.

Arguments

series

a T \times K array with T observations from the K-dimensional time series \mathbf{X}_t. Can be a matrix, data.frame, or a multivariate ts object.

U

a T \times K array with T observations from the K-dimensional whitened (whiten) time series \mathbf{U}_t. Can be a matrix, data.frame, or a multivariate ts object.

mvspectrum.output

an object of class "mvspectrum" representing the multivariate spectrum of \mathbf{X}_t (not necessarily normalized).

f.U

multivariate spectrum of class 'mvspectrum' with normalize = TRUE.

algorithm.control

list; control settings for any iterative ForeCA algorithm. See complete_algorithm_control for details.

entropy.control

list; control settings for entropy estimation. See complete_entropy_control for details.

spectrum.control

list; control settings for spectrum estimation. See complete_spectrum_control for details.

entropy.method

string; method to estimate the entropy from discrete probabilities p_i; here probabilities are the spectral density evaluated at the Fourier frequencies, \widehat{p}_i = \widehat{f}(ω_i).

spectrum.method

string; method for spectrum estimation; see method argument in mvspectrum.

threshold

numeric; values of spectral density below threshold are set to 0; default threshold = 0.

smoothing

logical; if TRUE the spectrum will be smoothed with a nonparametric estimate using gam and an exponential family (with link = log). Only works for univariate spectrum. The smoothing parameter is chosen automatically using generalized cross-validation (see gam for details). Default: FALSE.

base

logarithm base; entropy is measured in “nats” for base = exp(1); in “bits” if base = 2 (default).


ForeCA documentation built on May 29, 2017, 9:09 a.m.