rule_of_thumb {mlrv}

rule of thumb interval for the selection of smoothing parameter b

Description

The function will compute a data-driven interval for the Generalized Cross Validation performed later, see also Bai and Wu (2023) .

Usage

rule_of_thumb(y, x)

Arguments

y

a vector, the response variable.

x

a matrix of covariates. If the intercept should be includes, the elements of the first column should be 1.

Value

c(left, right), the vector with the left and right points of the interval

References

Bai, L., and Wu, W. (2023). Detecting long-range dependence for time-varying linear models. To appear in Bernoulli

Examples

param = list(d = -0.2, heter = 2, tvd = 0,
tw = 0.8, rate = 0.1, cur = 1, center = 0.3,
 ma_rate =  0, cov_tw =  0.2, cov_rate = 0.1,
 cov_center = 0.1, all_tw  = 1, cov_trend = 0.7)
data = Qct_reg(1000, param)
rule_of_thumb(data$y, data$x)