lam {boodd}R Documentation

Lag window

Description

The function lam is used to construct a "flat-top" lag window for spectral estimation based on Politis, D.N. and J.P. Romano (1995), "Bias-Corrected Nonparametric Spectral Estimation", Journal of Time Series Analysis, vol. 16, No. 1.

Usage

lam(s)

Arguments

s

a time series.

Details

This function constructs a lag window used in spectral estimation. More details about the lag window and its usage can be found in the referenced papers.

Value

A lag window for spectral estimation.

Author(s)

Original code in Matlab by A. Patton, R translation and modifications by C. Parmeter and J. Racine. We are grateful to Andrew Patton and Dimitris Politis for their assistance and feedback. Kindly report features, deficiencies, and improvements to racinej@mcmaster.ca.

References

Patton, A., Politis, D.N. and White, H. (2009). Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White, Econometric Reviews, 28, 372-375.

See Also

blockboot, b.star

Examples

# Generate a sequence for testing
s <- seq(-1, 1, by = 0.1)
# Calculate the lag window using the lam function
lag_window <- lam(s)
# Plot the generated lag window
plot(lag_window, type="l")

[Package boodd version 0.1 Index]