silverman {TVMVP} | R Documentation |
Compute Bandwidth Parameter Using Silverman's Rule of Thumb
Description
This function calculates the bandwidth parameter for kernel functions using Silverman's rule of thumb, which is commonly used in kernel density estimation to determine an appropriate bandwidth. The procedure is available either as a stand-alone function or as a method in the 'TVMVP' R6 class.
Usage
silverman(returns)
Arguments
returns |
A numeric matrix of asset returns with |
Details
Silverman's rule of thumb for bandwidth selection is given by:
bandwidth = \frac{2.35}{\sqrt{12}} \times T^{-0.2} \times p^{-0.1}
where T
is the number of time periods and p
is the number of assets.
Two usage styles:
# Function interface bw <- silverman(returns) # R6 method interface tv <- TVMVP$new() tv$set_data(returns) tv$silverman()
Value
A numeric value representing the computed bandwidth parameter based on Silverman's rule.
Examples
# Simulate data for 50 assets over 200 time periods
set.seed(123)
T <- 200
p <- 50
returns <- matrix(rnorm(T * p, mean = 0.001, sd = 0.02), ncol = p)
# Compute bandwidth using Silverman's rule of thumb
bw <- silverman(returns)
print(bw)
tv <- TVMVP$new()
tv$set_data(returns)
tv$silverman()
[Package TVMVP version 1.0.5 Index]