LG_boot_approx: Approximations of the local Gaussian auto- and...

In LAJordanger/localgaussSpec: Local Gaussian Spectral Analysis

Approximations of the local Gaussian auto- and cross-correlations for bootstrapped replicates

Description

This function is in essence a wrapper for the function LG_approx, and it is called when we need to investigate bootstrap-based replicates in our analysis of the local Gaussian spectral densities.

Usage

LG_boot_approx(
  save_dir = NULL,
  TS_boot,
  lag_max,
  LG_points,
  .bws_mixture,
  bw_points,
  .bws_fixed,
  .bws_fixed_only,
  content_details,
  LG_type
)

Arguments

save_dir	A specification of the directory to be used when saving (and loading) data. The default value NULL will turn of the interaction with disk.
TS_boot	The matrix of bootstrap-replicates produced by TS_boot_sample, where we want to find estimated parameters of the local Gaussian approximations.
lag_max	The number of lags to include in the analysis.
LG_points	An array that specifies the point at which it is desired to compute the local Gaussian estimates. The default value NULL will imply that the values used in the computations upon the original data are recycled. Values can alternatively be computed by the help of the function LG_select_points, but these must then be a subset of the original values.
.bws_mixture	An argument that specifies how the global bandwidths and those obtained by the nearest-neighbour strategy should be combined. The three available options are c("mixture", "local", "global"), which have the following effects. The alternatives local and global will respectively only select the nearest neighbour or global. These alternatives seems however to not work well when used on some parts of the lagged pairs of interest, i.e. the nearest neighbour values might be to "small" in the center of the distribution, whereas the global bandwidths seems to fail in the periphery of the distribution. The alternative mixture attempt to resolve this by (for each grid point) selecting the largest of the two alternative bandwidths. Note that the value of .bws_mixture decides how much information that is computed, i.e. the alternative local will turn off the computation of global bandwidths. However, the computations of the nearest neighbour bandwidths will also be computed when the alternative global is used, since it does not take long to compute and it is that function that creates the array we need as a mould for the result. If the user does not make a selection, then all three alternatives will be computed.
bw_points	A vector, default c(25, 35), that specifies the percentage of the observations that we want inside the "bandwidth-square". If .bws_mixture is selected to be global, then this argument will be ignored. and no nearest neighbours will be computed.
.bws_fixed	A vector of non-negative real values, that can be used to specify fixed values for the bandwidths (which might be of interest to do in a preliminary analysis). The default value NULL will prevent the computation of Local Gaussian Estimates based on fixed bandwidths.
.bws_fixed_only	A logic value, default FALSE, that can be used to drop the rather time-consuming data-driven estimation of bandwidths in favour of the simplified approach where fixed bandwidths are used instead. Note that .bws_fixed must be specified when .bws_fixed_only are set to TRUE.
content_details	A character string from c("rho_only", "rho_log.fun", "rho_all"), of which the first will be selected if the user doesn't specify something else. The purpose of this argument is to decide the amount of details that should be stored from the estimates governed by the argument LG_type. The default rho_only is the one needed for the computation of the Local Gaussian Spectral Densities, whereas rho_log.fun in addition returns the estimated values of the logarithm of the density. The option rho_all will in addition return all the parameters when LG_type is given as par_five.
LG_type	One of c("par_five", "par_one"), i.e. should the Local Gaussian Autocorrelations be based on the approach using five parameters or the simplified approach using only one parameter. The default choice is "par_five".

Details

This function can be called manually, but the intention is that it only should be called from LG_boot_approx_scribe, since that will ensure that the arguments are properly recorded and that the result are saved to appropriately named files. In order to dissuade users from calling this (often quite time consuming) function directly, no default values have been specified for the arguments.

Value

This function is a wrapper around LG_approx, and the result is thus the same as specified for that function.

Note

Regarding the case where the LG_type-argument is equal to "par_one": The author of this package has always considered the "par_one"-approach to be reasonable when the aim of the investigation is to estimate a density at a given point. However, the extraction of the correlation value from the resulting density-estimate will in general not capture the local geometrical properties of the targeted distribution at the point of investigation. The "par_one"-approach is as such (in general) a complete waste of computation resources.

LAJordanger/localgaussSpec documentation built on May 6, 2023, 4:31 a.m.