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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 noise, the default) or "rw" (= random walk).

passband

passband threshold.

Value

A function that takes a bandwidth as input and returns the value of the optimization criterion.

Examples

graphics::plot(
    rkhs_optimization_fun(
        horizon = 6,
        leads = 0,
        degree = 3,
        asymmetricCriterion = "Timeliness"
    ),
    5.5,
    6 * 3,
    ylab = "Timeliness",
    main = "6X0 filter"
)

graphics::plot(
    rkhs_optimization_fun(
        horizon = 6,
        leads = 1,
        degree = 3,
        asymmetricCriterion = "Timeliness"
    ),
    5.5,
    6 * 3,
    ylab = "Timeliness",
    main = "6X1 filter"
)

graphics::plot(
    rkhs_optimization_fun(
        horizon = 6,
        leads = 2,
        degree = 3,
        asymmetricCriterion = "Timeliness"
    ),
    5.5,
    6 * 3,
    ylab = "Timeliness",
    main = "6X2 filter"
)

graphics::plot(
    rkhs_optimization_fun(
        horizon = 6,
        leads = 3,
        degree = 3,
        asymmetricCriterion = "Timeliness"
    ),
    5.5,
    6 * 3,
    ylab = "Timeliness",
    main = "6X3 filter"
)

graphics::plot(
    rkhs_optimization_fun(
        horizon = 6,
        leads = 4,
        degree = 3,
        asymmetricCriterion = "Timeliness"
    ),
    5.5,
    6 * 3,
    ylab = "Timeliness",
    main = "6X4 filter"
)

graphics::plot(
    rkhs_optimization_fun(
        horizon = 6,
        leads = 5,
        degree = 3,
        asymmetricCriterion = "Timeliness"
    ),
    5.5,
    6 * 3,
    ylab = "Timeliness",
    main = "6X5 filter"
)