| sm.ts.pdf {sm} | R Documentation |
This function estimates the density function of a time series x,
assumed to be stationary. The univariate marginal density is estimated
in all cases; bivariate densities of pairs of lagged values are estimated
depending on the parameter lags.
sm.ts.pdf(x, h = hnorm(x), lags, maxlag = 1, ask = TRUE)
x |
a vector containing a time series |
h |
bandwidth |
lags |
for each value, k say, in the vector lags a density
estimate is produced
of the joint distribution of the pair (x(t-k),x(t)).
|
maxlag |
if lags is not given, it is assigned the value 1:maxlag
(default=1).
|
ask |
if ask=TRUE, the program pauses after each plot, until <Enter>
is pressed.
|
see Section 7.2 of the reference below.
a list of two elements, containing the outcome of the estimation of
the marginal density and the last bivariate density, as produced by
sm.density.
plots are produced on the current graphical device.
Bowman, A.W. and Azzalini, A. (1997). Applied Smoothing Techniques for Data Analysis: the Kernel Approach with S-Plus Illustrations. Oxford University Press, Oxford.
data(geyser) a <- sm.ts.pdf(geyser$duration, lags=1:2)