LongRunCovMatrix: Long Run Covariance Matrix Estimation for Multivariate Time...

In fdasrvf: Elastic Functional Data Analysis

Long Run Covariance Matrix Estimation for Multivariate Time Series

Description

This function estimates the long run covariance matrix of a given multivariate data sample.

Usage

LongRunCovMatrix(mdobj, h = 0, kern_type = "bartlett")

Arguments

mdobj	A multivariate data object
h	The bandwidth parameter. It is strictly non-zero. Choosing the bandwidth parameter to be zero is identical to estimating covariance matrix assuming iid data.
kern_type	Kernel function to be used for the estimation of the long run covariance matrix. The choices are c("BT", "PR", "SP", "FT") which are respectively, bartlett, parzen, simple and flat-top kernels. By default the function uses a "barlett" kernel.

Value

Returns long run covariance matrix

fdasrvf documentation built on Nov. 19, 2023, 1:09 a.m.