costat (version 2.4.1)

EWSsmoothRM: Perform running mean smoothing of an EWS object

Description

Performs running mean smoothing of bandwidth s of an EWS, such as that returned by the ewspec function of wavethresh.

Usage

EWSsmoothRM(S, s)

Value

A EWS object contained in a wd object of type "station" which contains the smoothed spectrum.

Arguments

S

The spectrum to smooth

s

The bandwidth (or number of ordinates to include in the running mean)

Author

G.P. Nason

Details

Each level of the EWS is subject to a running mean smooth. After smoothing a level the resultant smooth is shorter than the original level (due to the mean not being able to overlap the boundaries). This deficit is made up by augmenting the start of the smooth with a right number of smoothed values taken from the first smoothed value.

References

Cardinali, A. and Nason, Guy P. (2013) Costationarity of Locally Stationary Time Series Using costat. Journal of Statistical Software, 55, Issue 1.

Cardinali, A. and Nason, G.P. (2010) Costationarity of locally stationary time series. J. Time Series Econometrics, 2, Issue 2, Article 1.

See Also

lacv

Examples

#
# Make dummy time series
#
x <- rnorm(128)
#
# Compute spectrum, but don't do smoothing
#
xews <- ewspec(x, WPsmooth=FALSE)$S
#
# Now smooth the spectrum using running mean smoothing with bandwidth of 5
#
ans <- EWSsmoothRM(xews, s=5)