freqdom (version 1.0.4)

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

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

# NOT RUN {
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)
# }