speclagreg.K: Determine the subspace dimension for inversion in...

In freqdom: Frequency Domain Analysis for Multivariate Time Series

Description

Determine the subspace dimension for the frequency-wise operator inversion in the estimation of regression coefficients

Usage

speclagreg.K(X, Y, lags = 0:0, freq = NULL, p = 10, q = 10,
  weights = "Bartlett")

Arguments

X	first process
Y	second process, if null then autocovariance of X is computed
lags	which A_k should be estimated
freq	grid of frequencies for computation as in fourier.transform
p	window size for estimation of spectral density of X
q	window size for estimation of spectral density of Y and X
weights	as in spectral.density

Value

Heursiticaly determined subspace size

See Also

linproc

Examples

n = 100
d = 5
X = rar(n,d=d,Psi=matrix(0,d,d))  			# independent d-dim variables
w = 0.4
Y = w*X + (1-w)*rar(n,d=d,Psi=matrix(0,d,d))	# independent d-dim variables
K = speclagreg.K(X, Y, lags=-2:2)

freqdom documentation built on May 2, 2019, 5:55 p.m.