rkhs_optimal_bw: Optimal Bandwith of Reproducing Kernel Hilbert Space (RKHS)...

In palatej/rjdfilters: Trend-Cycle Extraction with Linear Filters

Optimal Bandwith of Reproducing Kernel Hilbert Space (RKHS) Filters

Description

Function to export the optimal bandwidths used in Reproducing Kernel Hilbert Space (RKHS) filters

Usage

rkhs_optimal_bw(
  horizon = 6,
  degree = 2,
  kernel = c("Biweight", "Henderson", "Epanechnikov", "Triangular", "Uniform",
    "Triweight"),
  asymmetricCriterion = c("Timeliness", "FrequencyResponse", "Accuracy", "Smoothness"),
  density = c("uniform", "rw"),
  passband = 2 * pi/12,
  optimal.minBandwidth = horizon,
  optimal.maxBandwidth = 3 * horizon
)

Arguments

horizon	horizon (bandwidth) of the symmetric filter.
degree	degree of polynomial.
kernel	kernel uses.
asymmetricCriterion	the criteria used to compute the optimal bandwidth. If "Undefined", m+1 is used.
density	hypothesis on the spectral density: "uniform" (= white woise, the default) or "rw" (= random walk).
passband	passband threshold.
optimal.minBandwidth, optimal.maxBandwidth	the range used for the optimal bandwith selection.

Examples

rkhs_optimal_bw(asymmetricCriterion = "Timeliness")
rkhs_optimal_bw(asymmetricCriterion = "Timeliness", optimal.minBandwidth = 6.2)

palatej/rjdfilters documentation built on May 8, 2023, 6:28 a.m.