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

In SonmezOzan/fChange_0.2.0: Change Point Analysis in Functional Data

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.
...	Further arguments to pass

Value

Estimated long run covariance matrix.

See Also

LongRun

Examples

# Generate FAR(1) process
fdata = fun_AR(n=100, nbasis=31, order=1, kappa=0.9)

SonmezOzan/fChange_0.2.0 documentation built on May 17, 2019, 8:04 a.m.