Skip to contents

Optimal Bandwith of Reproducing Kernel Hilbert Space (RKHS) Filters

Source: R/RKHS.R
rkhs_optimal_bw.Rd

Function to export the optimal bandwidths used in Reproducing Kernel Hilbert Space (RKHS) filters

Usage

rkhs_optimal_bw(
  horizon = 6,
  degree = 2,
  kernel = c("Biweight", "Henderson", "Epanechnikov", "Triangular", "Uniform",
    "Triweight"),
  asymmetricCriterion = c("Timeliness", "FrequencyResponse", "Accuracy", "Smoothness"),
  density = c("uniform", "rw"),
  passband = 2 * pi/12,
  optimal.minBandwidth = horizon,
  optimal.maxBandwidth = 3 * horizon
)

Arguments

horizon

horizon (bandwidth) of the symmetric filter.

degree

degree of polynomial.

kernel

kernel uses.

asymmetricCriterion

the criteria used to compute the optimal bandwidth. If "Undefined", \(m+1\) is used.

density

hypothesis on the spectral density: "uniform" (= white woise, the default) or "rw" (= random walk).

passband

passband threshold.

optimal.minBandwidth, optimal.maxBandwidth

the range used for the optimal bandwith selection.

Examples

rkhs_optimal_bw(asymmetricCriterion = "Timeliness")
#>    q=0    q=1    q=2    q=3    q=4    q=5 
#> 6.0000 6.0000 6.3875 8.1500 9.3500 6.0000 
rkhs_optimal_bw(asymmetricCriterion = "Timeliness", optimal.minBandwidth = 6.2)
#>       q=0       q=1       q=2       q=3       q=4       q=5 
#>  6.200000  6.200000  6.384375  8.148229  9.352812 10.391458