mlrv (version 0.1.2)

rule_of_thumb: rule of thumb interval for the selection of smoothing parameter b

Description

The function will compute a data-driven interval for the Generalized Cross Validation performed later, see also Bai and Wu (2024) .

Usage

rule_of_thumb(y, x)

Value

c(left, right), the vector with the left and right points of the interval

Arguments

y

a vector, the response variable.

x

a matrix of covariates. If the intercept should be includes, the elements of the first column should be 1.

References

Bai, L., & Wu, W. (2024). Detecting long-range dependence for time-varying linear models. Bernoulli, 30(3), 2450-2474.

Examples

param = list(d = -0.2, heter = 2, tvd = 0,
tw = 0.8, rate = 0.1, cur = 1, center = 0.3,
 ma_rate =  0, cov_tw =  0.2, cov_rate = 0.1,
 cov_center = 0.1, all_tw  = 1, cov_trend = 0.7)
data = Qct_reg(1000, param)
rule_of_thumb(data$y, data$x)