spec_trunc_autocov: Spectrum-wise truncated autocovariance matrix estimator

In HaotianXu/rcov: Robust Autocovariance Matrix Estimation

Spectrum-wise truncated autocovariance matrix estimator

Description

Compute the spectrum-wise truncated autocovariance matrix estimator.

Usage

spec_trunc_autocov(X, l, tau, ...)

Arguments

X	A numeric p x n matrix of observations.
l	A non-negative integer corresponding to the lag of the autocovariance.
tau	A numeric scalar corresponding to the truncation parameter (larger than 0)
...	Additional arguments.

Value

A p x p matrix corresponding to the spectrum-wise truncated lag-l autocovariance matrix estimator

Author(s)

Haotian Xu

Examples

set.seed(123)
X = matrix(rt(50*100, 3), nrow = 50, ncol = 100)
gamma_1 = spec_trunc_autocov(X, l = 1, 6)
dim(gamma_1)

HaotianXu/rcov documentation built on May 14, 2023, 5:04 a.m.