Description Usage Arguments Details Value Author(s) References See Also Examples
The function takes a nondecimated complex lifting decomposition of a univariate or bivariate series, and uses smoothing before computing spectral quantities such as the complex periodograms, coherence and phase
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x |
An object of class |
M |
The smoothing parameter (binwidth) or vector of smoothing parameters (one for each scale) for the time-domain kernel smoothing method, see |
fact |
If |
... |
Any other parameters to be passed to the scale smoothing function, see the documentation for |
For univariate series, the nondecimated complex lifting object can be used to form a spectral object by smoothing the squared details over scale (with smooth.over.scale
), and then smoothing over time (using smooth.over.time
). Smoothing over scale is done via smooth.spline
; smoothing over time is done with a kernel smoother (e.g. a "box" kernel for a moving average).
See Hamilton et al. (2018) for more details.
An object of class cnlt.spec
(subclasses: DG
, SG
, univ
, biv
).
For subclass univ
, a list with components:
S1 |
A spectral object (matrix) of dimension |
mscale |
A vector of scales corresponding to the rows of the spectrum |
mtime |
The vector |
For subclass biv
, a list with components:
coh |
A matrix of dimension |
phase |
A matrix of dimension |
C |
A matrix of dimension |
Q |
A matrix of dimension |
S1 |
A matrix of dimension |
S2 |
A matrix of dimension |
mscale |
A vector of scales corresponding to the rows of the spectrum |
mtime |
A vector of times corresponding to the columns of the spectrum |
Matt Nunes, Jean Hamilton
Hamilton, J., Nunes, M. A., Knight, M. I. and Fryzlewicz, P. (2018) Complex-valued wavelet lifting and applications. Technometrics, 60 (1), 48-60, DOI 10.1080/00401706.2017.1281846.
cnlt.biv
,
cnlt.univ
,
cnltspec.plot
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