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o5bao
2024 Jul 10
1
Implementation for selecting lag of a lag window spectral estimator using generalized cross validation (using deviance)
...der control, we focus on reducing the
variance. So we take a window like for eg. the Parzen window, and
choose
a lag length m which controls the amount of smoothing across frequencies.
5. One way of choosing m is mentioned in :
https://web.archive.org/web/20080221221221id_/http://www.stat.uiuc.edu/~ombao/PAPERS.dir/gcvbmka.pdf
I am looking for an R package which implements 5.
Here is a reprex:
# 1. Periodogram which may be biased
plot(spectrum(lh,taper= 0, method="pgram"),log="dB")
# 2. Using the default in built cosine taper
plot(spectrum(lh,taper = .3, method="pgram&...