pmspec {ftnonpar}R Documentation

Piecewise monotone spectral density approximation with taut strings

Description

Applies the taut string method to spectral densities.

Usage

pmspec(x, pks=0, alpha=0.9, sqzf=0.9, mult=0, lcl=0, ln=0, fig = 0, pow=10^-2)

Arguments

x data
pks if pks=0 then the number of peaks is determined automatically. If pks = k >0 then a density with n paeks is returned pks
alpha If pks=0 then on Gaussian test beds the number of peaks of the true density is at least the returned value with an asymptotic probability of at least alpha. If pks > 0 then the parameter is not operational alpha
sqzf Squeeze factor for the taut string sqzf
mult If mult = T then rescaled empirical density is compared with the exponential distribution only on intervals forming a multiresolution scheme. If T = F then all intervals are used. If the sample size of the data is less than 512 then T = F is default mult
lcl If lcl = T then string is calculated using local squeezing. If lcl = F then global squeezing is used.lcl
fig If fig = T then the data are automticall plotted fig
ln If fig = T and ln = T then the densities are plotted on a log scale. If ln = F then no transformation is performed ln
pow Peaks with a power less than pow * total power will be ignored

Value

edf Emprical spectral density
df String density
pks Number of peaks
ll Lower boundary for string
uu Upper boundary for string
str String

Author(s)

Laurie Davies Laurie.Davies@uni-essen.de

References

Davies, P.L. snd Kovac, A. (2001) Local extremes, runs, strings and multiresolution, Annals of Statistics 29 (1) 1-65. Davies, P. L. and Kovac, A. (2002) Densities, Spectral Densities and Modality

See Also

pmreg,l1pmreg,pmden


[Package ftnonpar version 0.1-83 Index]