dft.X

Computes the (normalized) discrete Fourier transform (DFT) of a matrix <code>X</code> row-wise using <code>mvfft</code>, and extracts a window of frequencies centered at a target index.

Implements 'glmnet'-style complex-valued lasso and
complex-valued graphical lasso using a 'pathwise' coordinate descent
algorithm for complex-valued parameters. The package provides
supporting tools for estimation, simulation, and prediction. See Deb
(2024) <doi:10.48550/ArXiv.2401.11128> for the algorithm description.

Younghoon Kim

cxreg

Complex-Valued Lasso and Complex-Valued Graphical Lasso

Navonil Deb

Sumanta Basu

dft.X function

<dl><dt>X</dt>
<dd>A numeric matrix of size \(nobs \times nvar\), where DFT is applied across the rows (time points).</dd>
<dt>j</dt>
<dd>An integer index in \(1,\ldots,nobs\) around which the frequency window is centered.</dd>
<dt>m</dt>
<dd>A non-negative integer specifying the window half-width. The function returns <code>2m + 1</code> DFT components centered around <code>j</code>.</dd></dl>

Arguments

Discrete Fourier Transform of matrix X — dft.X

<dl>

<dt>X</dt>
<dd>A numeric matrix of size \(nobs \times nvar\), where DFT is applied across the rows (time points).</dd>


<dt>j</dt>
<dd>An integer index in \(1,\ldots,nobs\) around which the frequency window is centered.</dd>


<dt>m</dt>
<dd>A non-negative integer specifying the window half-width. The function returns <code>2m + 1</code> DFT components centered around <code>j</code>.</dd>

</dl>

dft.X: Discrete Fourier Transform of matrix X

Description

Usage

Value

Arguments