sigex.wkmse: Signal extraction error spectrum from bi-infinite sample

In tuckermcelroy/sigex: Ecce Signum: Multivariate Signal Extraction

Signal extraction error spectrum from bi-infinite sample

Description

Signal extraction error spectrum from bi-infinite sample

Usage

sigex.wkmse(data.ts, param, mdl, sigcomps, grid)

Arguments

data.ts	A T x N matrix ts object
param	model parameters entered into a list object with an intuitive structure.
mdl	The specified sigex model, a list object
sigcomps	Indices of the latent components composing the signal
grid	Desired number of frequencies for spectrum calculations

Value

frf.wk: array of dimension c(N,N,grid), with complex number entries

tuckermcelroy/sigex documentation built on Nov. 14, 2024, 3:28 p.m.