choose.p.lwo: Choose Specific Entropy Rate Order via Leave-Window-Out...

Description Usage Arguments

View source: R/er-functions.R

Description

choose.p.lwo chooses the model order p to use in estimating the specific entropy rate of a scalar, continuous-valued time series using leave-window-out (LWO) cross validation.

Usage

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choose.p.lwo(x, p.max, p.min = 1, half.window.length = 1,
  kerntype = "gaussian", bwtype = "fixed", bwmethod = "cv.ml",
  bwuse = NA, nmulti = 1)

Arguments

x

A continuous-valued scalar time series.

p.max

The largest model order to consider.

p.min

The smallest model order to consider.

half.window.length

The half-length of the window about the present removed in estimating the specific entropy rate.

kerntype

The kernel type, one of 'guassian', 'uniform', 'epanechnikov'.

bwtype

The bandwidth type, one of 'fixed', 'generalized_nn', 'adaptive_nn'.

bwmethod

The method used to choose the bandwidths, one of cv.ml, cv.ls, normal-reference. Defaults to cv.ml to perform LOOCV on the specific entropy rate.

bwuse

Specify a fixed bandwidth to use across all lags, or NA to estimate the bandwidths in a data-driven way.

nmulti

The number of random initial conditions to use by the optimizer for choosing the bandwidths.


ddarmon/spenra documentation built on July 11, 2020, 4:41 a.m.