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lepiane
2024 Jul 10
1
Implementation for selecting lag of a lag window spectral estimator using generalized cross validation (using deviance)
...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"),log="dB")
# 2. Again, using slepian taper
library(multitaper)
# I choose: n = length(lh), k =1, nw=2
mytaper = dpss(n=length(lh), k=1 , nw=2, returnEigenvalues=TRUE)
# Tapered series
lh * mytaper$v
# I may compute the spectrum with reduced bias as:
plot(spectrum(lh*mytaper$v,method="pgram"),log="dB")
# We now foc...