Description Usage Arguments Value Author(s) References See Also Examples
Calculates a spectral density estimator using infinite order flat-top kernels. These estimators have been shown to automatically achieve optimal rates of covergence across a wide range of scenarios.
1 |
x |
A univariate time series. |
l |
The smoothing parameter. If missing, adaptive bandwidth choice is used via |
kernel |
Three flat-top kernels are implemented, described by the shape of their Fourier transforms. "Trap" is trapezoid shaped and is the default. The rectangular kernel is not recommended and is here for comparison only. SupSm is infinitely differentiable in the Fourier domain. |
x.points |
Points at which the spectral density is estimated. If |
If x.points
is not NULL, the function returns a list of length 2
x |
The |
y |
The estimated spectral density function at the associated |
If x.points
is NULL, the function returns the estimated spectral density function rather than its values.
Timothy L. McMurry
Politis, D. N., & Romano, J. P. (1995). Bias-corrected nonparametric spectral estimation. Journal of Time Series Analysis, 16(1), 67-103.
Politis, D. N. (2003). Adaptive bandwidth choice. Journal of Nonparametric Statistics, 15(4-5), 517-533.
1 2 3 |
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