iosmooth (version 0.94)

bwplot.ts: Bandwidth plot for spectral density estimation

Description

Plots the absolute autocorrelation function at lags 0 to lag.max.

Usage

"bwplot"(x, lag.max = NULL, c.thresh = 2, ...)

Arguments

x

A univariate time series.

lag.max

The maximum lag shown on the plot.

c.thresh

The smoothing parameter is chosen by looking for the first time the sample autocorrelation function drops below c.thresh*sqrt(log(n,10)/n) and stays below that level for a distance of Kn.

...

Further arguments passed on to plot.acf.

Details

Produces a plot that is helpful in choosing the bandwidth for infinite order flat-top spectral density estimates. The smoothing parameter should be chosen to let the large small lag autocorrelations pass unpreturbed while damping out smaller higher lag correlations.

References

Politis, D. N. (2003). Adaptive bandwidth choice. Journal of Nonparametric Statistics, 15(4-5), 517-533.

See Also

bwadap, bwadap.ts, bwplot, bwplot.numeric

Examples

set.seed(123)
x <- arima.sim(list(ar=.7, ma=-.3), 100)
bwplot(x)
bwadap(x)
# Choose a smoothing parameter of 3
plot(iospecden(x, l=3), type="l")