# File src/library/stats/R/kernel.R # Part of the R package, https://www.R-project.org # # This program is free software; you can redistribute it and/or modify # it under the terms of the GNU General Public License as published by # the Free Software Foundation; either version 2 of the License, or # (at your option) any later version. # # This program is distributed in the hope that it will be useful, # but WITHOUT ANY WARRANTY; without even the implied warranty of # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the # GNU General Public License for more details. # # A copy of the GNU General Public License is available at # https://www.R-project.org/Licenses/ ## Copyright (C) 1999-2018 The R Core Team ## Copyright (C) 1997-1999 Adrian Trapletti ## This version distributed under LGPL (version 2 or later) kernel <- function (coef, m = 2, r, name="unknown") { mkName <- function(name, args) paste0(name,"(", paste(args, collapse=","), ")") modified.daniell.kernel <- function (m) { if(length(m) == 1L) k <- kernel(c(rep_len(1, m), 0.5)/(2*m), m) else { k <- Recall(m[1L]) for(i in 2L:length(m)) k <- kernapply(k, Recall(m[i])) } attr(k,"name") <- mkName("mDaniell", m) k } daniell.kernel <- function (m) { if(length(m) == 1L) k <- kernel(rep_len(1/(2*m+1),m+1), m) else { k <- Recall(m[1L]) for(i in 2L:length(m)) k <- kernapply(k, Recall(m[i])) } attr(k,"name") <- mkName("Daniell", m) k } fejer.kernel <- function (m, r) { if (r < 1L) stop ("'r' is less than 1") if (m < 1L) stop ("'m' is less than 1") n <- 2L*m+1L wn <- double(m+1L) wj <- 2*pi*(1L:m)/n wn[2L:(m+1L)] <- sin(r*wj/2)^2 / sin(wj/2)^2 / r wn[1L] <- r wn <- wn / (wn[1L] + 2*sum(wn[2L:(m+1L)])) kernel(wn, m, name = mkName("Fejer", c(m,r))) } dirichlet.kernel <- function (m, r) { if (r < 0) stop ("'r' is less than 0") if (m < 1) stop ("'m' is less than 1") n <- 2L*m+1L wn <- double(m+1L) wj <- 2*pi*(1L:m)/n wn[2L:(m+1)] <- sin((r+0.5)*wj) / sin(wj/2) wn[1L] <- 2*r+1 wn <- wn / (wn[1L] + 2*sum(wn[2L:(m+1L)])) kernel(wn, m, name = mkName("Dirichlet", c(m,r))) } if(!missing(m)) if(!is.numeric(m) || length(m) < 1L || any(m != round(m)) || any(m < 0L)) stop("'m' must be numeric with non-negative integers") if(is.character(coef)) { switch(coef, daniell = daniell.kernel(m), dirichlet = dirichlet.kernel(m, r), fejer = fejer.kernel(m, r), modified.daniell = modified.daniell.kernel(m), stop("unknown named kernel")) } else { if (!is.numeric(coef)) stop ("'coef' must be a vector") if (length(coef) < 1L) stop ("'coef' does not have the correct length") m <- length(coef) - 1L kernel <- list (coef=coef, m=m) attr(kernel, "name") <- name class(kernel) <- "tskernel" sk <- sum(kernel[-m:m]) # via '[.kernel' ! if (abs(sk - 1) > getOption("ts.eps")) stop ("coefficients do not add to 1") kernel } } print.tskernel <- function (x, digits = max(3L, getOption("digits") - 3L), ...) { m <- x$m y <- x[i <- -m:m] cat(attr(x, "name"), "\n") cat(paste0("coef[", format(i), "] = ", format(y, digits = digits)), sep = "\n") invisible(x) } plot.tskernel <- function(x, type = "h", xlab = "k", ylab = "W[k]", main = attr(x,"name"), ...) { i <- -x$m:x$m plot(i, x[i], type = type, xlab = xlab, ylab = ylab, main = main, ...) } df.kernel <- function (k) { 2/sum(k[-k$m:k$m]^2) } bandwidth.kernel <- function (k) { i <- -k$m:k$m sqrt(sum((1/12 + i^2) * k[i])) } `[.tskernel` <- function (k, i) { m1 <- k$m + 1L y <- k$coef[c(m1:2L, 1L:m1)] y[i+m1] } is.tskernel <- function (k) { inherits(k, "tskernel") } kernapply <- function (x, ...) { UseMethod("kernapply") } kernapply.vector <- function (x, k, circular = FALSE, ...) { if (!is.vector(x)) stop ("'x' is not a vector") if (!is.tskernel(k)) stop ("'k' is not a kernel") m <- k$m if (length(x) <= 2L*m) stop ("'x' is shorter than kernel 'k'") if (m == 0L) return (x) else { n <- length(x) w <- c(k[0L:m], rep_len(0,n-2L*m-1L), k[-m:-1L]) y <- fft(fft(x)*fft(w), inverse = TRUE)/n if (is.numeric(x)) y <- Re(y) if (circular) return (y) else return (y[(1L+m):(n-m)]) } } kernapply.default <- function (x, k, circular = FALSE, ...) { if (is.vector(x)) return (kernapply.vector(x, k, circular=circular)) else if (is.matrix(x)) return (apply(x, MARGIN=2, FUN=kernapply, k, circular=circular)) else stop ("'kernapply' is not available for object 'x'") } kernapply.ts <- function (x, k, circular = FALSE, ...) { if (!is.matrix(x)) y <- kernapply.vector(as.vector(x), k, circular=circular) else y <- apply(x, MARGIN=2L, FUN=kernapply, k, circular=circular) ts (y, end=end(x), frequency=frequency(x)) } kernapply.tskernel <- function (x, k, ...) { if (!is.tskernel(x)) stop ("'x' is not a kernel") if (!is.tskernel(k)) stop ("'k' is not a kernel") n <- k$m xx <- c(rep_len(0,n), x[-x$m:x$m], rep_len(0,n)) coef <- kernapply(xx, k, circular = TRUE) m <- length(coef) %/% 2L kernel(coef[(m+1L):length(coef)], m, paste0("Composite(", attr(x, "name"), ",", attr(k, "name"), ")")) }