get.gg: Data-driven selection of the average block size
In factorcpt: Simultaneous Change-Point and Factor Analysis

Computes quantities required for data-driven selection of the average block size for stationary bootstrap

1	get.gg(z, M = NULL, C = 2, max.K = 5)

`z`	univariate time series
`M`	bandwidth, by default, `M = NULL` to be automatically selected as in Politis and White (2004)
`C`	`C = 2` is the default value chosen for automatic bandwidth selection in Politis and White (2004)
`max.K`	`max.K = 5` is the default value chosen for automatic bandwidth selection in Politis and White (2004)

Estimates for the two quantities required for average block size selection, see the Appendix of Barigozzi, Cho & Fryzlewicz (2016).

Haeran Cho

M. Barigozzi, H. Cho and P. Fryzlewicz (2016) Simultaneous multiple change-point and factor analysis for high-dimensional time series, Preprint.

D. N. Politis and H. White (2004) Automatic block-length selection for the dependent bootstrap. Econometric Reviews. 23: 53-70.

factorcpt documentation built on May 2, 2019, 8:15 a.m.

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