bwplot.ts {iosmooth} | R Documentation |
Bandwidth plot for spectral density estimation
Description
Plots the absolute autocorrelation function at lags 0 to lag.max
.
Usage
## S3 method for class 'ts'
bwplot(x, lag.max = NULL, c.thresh = 2, ...)
Arguments
x |
A univariate time series. |
lag.max |
The maximum lag shown on the plot. |
c.thresh |
The smoothing parameter is chosen by looking for the first time the sample autocorrelation function drops below |
... |
Further arguments passed on to |
Details
Produces a plot that is helpful in choosing the bandwidth for infinite order flat-top spectral density estimates. The smoothing parameter should be chosen to let the large small lag autocorrelations pass unpreturbed while damping out smaller higher lag correlations.
Author(s)
Timothy L. McMurry
References
Politis, D. N. (2003). Adaptive bandwidth choice. Journal of Nonparametric Statistics, 15(4-5), 517-533.
See Also
bwadap
, bwadap.ts
, bwplot
, bwplot.numeric
Examples
set.seed(123)
x <- arima.sim(list(ar=.7, ma=-.3), 100)
bwplot(x)
bwadap(x)
# Choose a smoothing parameter of 3
plot(iospecden(x, l=3), type="l")