Re: [R] Implementation for selecting lag of a lag window spectral estimator using generalized cross validation (using deviance)

Have a look at the CRAN Time Series Task View: https://cran.r-project.org/web/views/TimeSeries.html Generally speaking, R-help is for help on R programming, not detailed statistical questions, so it is less likely that your query would receive a useful answer here. Cheers, Bert On Wed, Jul 10,

[R] Implementation for selecting lag of a lag window spectral estimator using generalized cross validation (using deviance)

Dear All, I am looking for: A software to select the lag length for a lag window spectral estimator. Also, I have a small query in the reprex given below. Background for the above, from the book by Percival and Walden: 1. We are given X_1,...,X_n which is one realization of a stochastic process