est_eigenvalue: Eigenvalues of An Estimated Long-run Covariance Function

In STFTS: Statistical Tests for Functional Time Series

Description

Calculate the eigenvalues of an estimated long-run covariance function.

Usage

est_eigenvalue(este, K, h_power, estev)

Arguments

este	Estimated errors in the long-run covariance function, inputted in a matrix form with each row representing each observation of the functional error values on equidistant points of any prespecified interval.
K	Kernel function in the estimation of the long-run covariance function.
h_power	Power of sample size 'N' (valued in (0,1)) for the smoothing bandwidth in the kernel function.
estev	Number of the largest eigenvalues chosen in the output.

Value

A vector of first 'estev' largest eigenvalues in descending order.

Examples

N<-100
EE<-matrix(rep(0,N*100),ncol=100)
set.seed(1)
for (i in 1:N) {
temp<-rnorm(100,0,1)
EE[i,1]<-temp[1]
for (j in 2:100) {
EE[i,j]<-EE[i,j-1]+temp[j]
}
}
est_eigenvalue(este=EE,K=default_kernel,h_power=1/2,estev=10)

STFTS documentation built on Aug. 19, 2021, 9:06 a.m.