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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")
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "[D", "optimalBandwidth",     as.integer(horizon), as.integer(degree), kernel, asymmetricCriterion,     density == "rw", passband, optimal.minBandwidth, optimal.maxBandwidth): java.lang.UnsupportedClassVersionError: jdplus/toolkit/base/core/stats/Kernels has been compiled by a more recent version of the Java Runtime (class file version 65.0), this version of the Java Runtime only recognizes class file versions up to 61.0
rkhs_optimal_bw(asymmetricCriterion = "Timeliness", optimal.minBandwidth = 6.2)
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "[D", "optimalBandwidth",     as.integer(horizon), as.integer(degree), kernel, asymmetricCriterion,     density == "rw", passband, optimal.minBandwidth, optimal.maxBandwidth): java.lang.UnsupportedClassVersionError: jdplus/toolkit/base/core/stats/Kernels has been compiled by a more recent version of the Java Runtime (class file version 65.0), this version of the Java Runtime only recognizes class file versions up to 61.0