bwadap.ts:
Adaptive bandwidth choice for infinite order spectral density estimates
Description
Adaptive bandwidth choice for spectral density estimation with infinite order flat-top kernels.
Usage
"bwadap"(x, Kn = 5, c.thresh = 2, ...)
Arguments
x
A univariate time-series.
Kn
Tuning parameter Kn discussed in Politis (2003). Roughly, the number of lags the autocorrelation function must stay below the threshold determined by c.thresh.
c.thresh
The bandwidth is chosen by looking for the first time the autocorrelation function drops below c.thresh*sqrt(log(n,10)/n) and stays below that level for Kn lags.
...
Currently unimplemented.
Value
Smoothing parameter l.
Details
Returns a smoothing parameter l; all lags after lag l will be down-weighted by the kernel's taper. All kernels in this package are scaled to use roughly the same smoothing parameter.
References
Politis, D. N. (2003). Adaptive bandwidth choice. Journal of Nonparametric Statistics, 15(4-5), 517-533.