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Optimization Function of Reproducing Kernel Hilbert Space (RKHS) Filters

Source: R/RKHS.R
rkhs_optimization_fun.Rd

Export function used to compute the optimal bandwidth of Reproducing Kernel Hilbert Space (RKHS) filters

Usage

rkhs_optimization_fun(
  horizon = 6,
  leads = 0,
  degree = 2,
  kernel = c("Biweight", "Henderson", "Epanechnikov", "Triangular", "Uniform",
    "Triweight"),
  asymmetricCriterion = c("Timeliness", "FrequencyResponse", "Accuracy", "Smoothness"),
  density = c("uniform", "rw"),
  passband = 2 * pi/12
)

Arguments

horizon

horizon (bandwidth) of the symmetric filter.

leads

Leads of the filter (should be positive or 0).

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.

Examples

plot(rkhs_optimization_fun(horizon = 6, leads = 0,degree = 3, asymmetricCriterion = "Timeliness"),
     5.5, 6*3, ylab = "Timeliness",
     main = "6X0 filter")
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "Ljava/util/function/DoubleUnaryOperator;",     "optimalCriteria", as.integer(horizon), as.integer(leads),     as.integer(degree), kernel, asymmetricCriterion, density ==         "rw", passband): 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
plot(rkhs_optimization_fun(horizon = 6, leads = 1,degree = 3, asymmetricCriterion = "Timeliness"),
     5.5, 6*3, ylab = "Timeliness",
     main = "6X1 filter")
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "Ljava/util/function/DoubleUnaryOperator;",     "optimalCriteria", as.integer(horizon), as.integer(leads),     as.integer(degree), kernel, asymmetricCriterion, density ==         "rw", passband): 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
plot(rkhs_optimization_fun(horizon = 6, leads = 2,degree = 3, asymmetricCriterion = "Timeliness"),
     5.5, 6*3, ylab = "Timeliness",
     main = "6X2 filter")
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "Ljava/util/function/DoubleUnaryOperator;",     "optimalCriteria", as.integer(horizon), as.integer(leads),     as.integer(degree), kernel, asymmetricCriterion, density ==         "rw", passband): 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
plot(rkhs_optimization_fun(horizon = 6, leads = 3,degree = 3, asymmetricCriterion = "Timeliness"),
     5.5, 6*3, ylab = "Timeliness",
     main = "6X3 filter")
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "Ljava/util/function/DoubleUnaryOperator;",     "optimalCriteria", as.integer(horizon), as.integer(leads),     as.integer(degree), kernel, asymmetricCriterion, density ==         "rw", passband): 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
plot(rkhs_optimization_fun(horizon = 6, leads = 4,degree = 3, asymmetricCriterion = "Timeliness"),
     5.5, 6*3, ylab = "Timeliness",
     main = "6X4 filter")
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "Ljava/util/function/DoubleUnaryOperator;",     "optimalCriteria", as.integer(horizon), as.integer(leads),     as.integer(degree), kernel, asymmetricCriterion, density ==         "rw", passband): 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
plot(rkhs_optimization_fun(horizon = 6, leads = 5,degree = 3, asymmetricCriterion = "Timeliness"),
     5.5, 6*3, ylab = "Timeliness",
     main = "6X5 filter")
#> Error in .jcall("jdplus/filters/base/r/RKHSFilters", "Ljava/util/function/DoubleUnaryOperator;",     "optimalCriteria", as.integer(horizon), as.integer(leads),     as.integer(degree), kernel, asymmetricCriterion, density ==         "rw", passband): 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