In a particular empirical process setting, estimates the
bandwidth parameter controlling the serial dependence when
generating dependent multiplier sequences using the 'moving average
approach'; see Section 5 of the third reference. This
function is called in the functions cpTestFn() and
cpTestCn() if b is set to NULL.
bOptEmpProc(x, m=5, weights = c("parzen", "bartlett"),
L.method=c("max","median","mean","min"))a data matrix whose rows are continuous observations.
a string specifying the kernel for creating the weights used in the generation of dependent multiplier sequences within the 'moving average approach'; see Section 5 of the third reference.
a strictly positive integer specifying the number of points of the
uniform grid on \((0,1)^d\) (where \(d\) is
ncol(x)) involved in the estimation of the bandwidth
parameter; see Section 5 of the third reference. The number of
points of the grid is given by m^ncol(x) so that m needs to be
decreased as \(d\) increases.
a string specifying how the parameter L involved
in the estimation of the bandwidth parameter is computed; see
Section 5 of the third reference.
A strictly positive integer.
The implemented approach results from an adaptation of the procedure described in the first two references (see also the references therein). The use of this function in a context different from that considered in the third reference may not be meaningful.
Acknowledgment: Part of the code of the function results from an adaptation of R code of C. Parmeter and J. Racine, itself an adaptation of Matlab code by A. Patton.
D.N. Politis and H. White (2004), Automatic block-length selection for the dependent bootstrap, Econometric Reviews 23(1):53<U+2013>70.
D.N. Politis, H. White and A.J. Patton (2004), Correction: Automatic block-length selection for the dependent bootstrap, Econometric Reviews 28(4):372-375.
A. B<U+00FC>cher and I. Kojadinovic (2014), A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing, Bernoulli, in press, http://arxiv.org/abs/1306.3930.