ARSdf: Autoregressive Spectral Density Function
In FitAR: Subset AR Model Fitting
Description
Usage
Arguments
Details
Value
Author(s)
See Also
Examples
Description
Spectral density function of AR(p) is computed.
Usage
1
ARSdf(phi, pFFT = 8)
Arguments
phi
AR Coefficient vector
pFFT
FFT with 2^pFFF frequencies, default 8
Details
The Fast Fourier Transform (FFT) is used to compute the spectral density function.
Value
A vector of the density function values, (f(1),..., f(2^pFFF))
Author(s)
A.I. McLeod and Y. Zhang
See Also
Examples
1
2
Example output
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
[1] 25.0000000 24.9249280 24.7024039 24.3402664 23.8508254 23.2498558
[7] 22.5554060 21.7865776 20.9624105 20.1009680 19.2186671 18.3298624
[13] 17.4466530 16.5788730 15.7342121 14.9184216 14.1355640 13.3882776
[19] 12.6780325 12.0053674 11.3700973 10.7714924 10.2084260 9.6794956
[25] 9.1831191 8.7176103 8.2812367 7.8722628 7.4889821 7.1297394
[31] 6.7929466 6.4770921 6.1807467 5.9025662 5.6412909 5.3957448
[37] 5.1648322 4.9475350 4.7429079 4.5500748 4.3682242 4.1966051
[43] 4.0345224 3.8813332 3.7364429 3.5993014 3.4693998 3.3462670
[49] 3.2294670 3.1185960 3.0132798 2.9131716 2.8179496 2.7273152
[55] 2.6409912 2.5587198 2.4802616 2.4053936 2.3339083 2.2656124
[61] 2.2003256 2.1378797 2.0781178 2.0208933 1.9660690 1.9135167
[67] 1.8631164 1.8147555 1.7683289 1.7237374 1.6808885 1.6396950
[73] 1.6000749 1.5619513 1.5252518 1.4899081 1.4558560 1.4230350
[79] 1.3913878 1.3608606 1.3314026 1.3029655 1.2755040 1.2489750
[85] 1.2233379 1.1985542 1.1745873 1.1514026 1.1289673 1.1072504
[91] 1.0862223 1.0658549 1.0461216 1.0269970 1.0084570 0.9904788
[97] 0.9730404 0.9561212 0.9397013 0.9237618 0.9082848 0.8932531
[103] 0.8786503 0.8644608 0.8506696 0.8372625 0.8242259 0.8115467
[109] 0.7992125 0.7872113 0.7755317 0.7641627 0.7530940 0.7423155
[115] 0.7318175 0.7215908 0.7116266 0.7019165 0.6924522 0.6832260
[121] 0.6742304 0.6654581 0.6569022 0.6485560 0.6404133 0.6324677
[127] 0.6247134 0.6171447 0.6097561 0.6025423 0.5954983 0.5886191
[133] 0.5819000 0.5753365 0.5689242 0.5626589 0.5565365 0.5505530
[139] 0.5447047 0.5389879 0.5333991 0.5279349 0.5225919 0.5173670
[145] 0.5122572 0.5072593 0.5023707 0.4975884 0.4929099 0.4883325
[151] 0.4838537 0.4794711 0.4751823 0.4709851 0.4668772 0.4628566
[157] 0.4589211 0.4550688 0.4512977 0.4476060 0.4439919 0.4404535
[163] 0.4369892 0.4335973 0.4302763 0.4270245 0.4238405 0.4207228
[169] 0.4176700 0.4146807 0.4117536 0.4088873 0.4060808 0.4033326
[175] 0.4006416 0.3980068 0.3954269 0.3929009 0.3904278 0.3880065
[181] 0.3856360 0.3833154 0.3810438 0.3788201 0.3766437 0.3745135
[187] 0.3724289 0.3703889 0.3683927 0.3664397 0.3645291 0.3626602
[193] 0.3608323 0.3590446 0.3572966 0.3555876 0.3539169 0.3522841
[199] 0.3506884 0.3491294 0.3476064 0.3461190 0.3446666 0.3432488
[205] 0.3418649 0.3405146 0.3391974 0.3379129 0.3366605 0.3354399
[211] 0.3342508 0.3330926 0.3319650 0.3308676 0.3298002 0.3287622
[217] 0.3277534 0.3267735 0.3258222 0.3248990 0.3240039 0.3231364
[223] 0.3222962 0.3214832 0.3206971 0.3199376 0.3192044 0.3184975
[229] 0.3178164 0.3171611 0.3165313 0.3159269 0.3153475 0.3147932
[235] 0.3142636 0.3137587 0.3132783 0.3128222 0.3123903 0.3119825
[241] 0.3115987 0.3112386 0.3109023 0.3105897 0.3103005 0.3100348
[247] 0.3097925 0.3095735 0.3093776 0.3092050 0.3090555 0.3089291
[253] 0.3088257 0.3087453 0.3086879 0.3086535
[1] 2.0408163 2.0402645 2.0386113 2.0358628 2.0320295 2.0271258 2.0211700
[8] 2.0141842 2.0061938 1.9972277 1.9873178 1.9764988 1.9648078 1.9522842
[15] 1.9389692 1.9249056 1.9101374 1.8947098 1.8786683 1.8620591 1.8449283
[22] 1.8273219 1.8092854 1.7908640 1.7721017 1.7530416 1.7337258 1.7141948
[29] 1.6944880 1.6746429 1.6546958 1.6346809 1.6146310 1.5945770 1.5745481
[36] 1.5545717 1.5346735 1.5148773 1.4952055 1.4756785 1.4563153 1.4371332
[43] 1.4181481 1.3993744 1.3808250 1.3625117 1.3444449 1.3266338 1.3090865
[50] 1.2918099 1.2748102 1.2580924 1.2416608 1.2255187 1.2096689 1.1941132
[57] 1.1788530 1.1638890 1.1492213 1.1348498 1.1207735 1.1069913 1.0935016
[64] 1.0803026 1.0673920 1.0547674 1.0424261 1.0303652 1.0185816 1.0070719
[71] 0.9958329 0.9848610 0.9741526 0.9637040 0.9535115 0.9435713 0.9338795
[78] 0.9244322 0.9152257 0.9062560 0.8975193 0.8890117 0.8807295 0.8726687
[85] 0.8648258 0.8571969 0.8497784 0.8425667 0.8355583 0.8287496 0.8221373
[92] 0.8157179 0.8094882 0.8034449 0.7975849 0.7919052 0.7864026 0.7810742
[99] 0.7759172 0.7709289 0.7661063 0.7614471 0.7569484 0.7526080 0.7484233
[106] 0.7443920 0.7405118 0.7367805 0.7331961 0.7297563 0.7264593 0.7233032
[113] 0.7202860 0.7174061 0.7146616 0.7120509 0.7095725 0.7072248 0.7050064
[120] 0.7029159 0.7009519 0.6991132 0.6973986 0.6958068 0.6943369 0.6929877
[127] 0.6917583 0.6906478 0.6896552 0.6887797 0.6880206 0.6873772 0.6868487
[134] 0.6864345 0.6861342 0.6859470 0.6858725 0.6859104 0.6860601 0.6863214
[141] 0.6866939 0.6871773 0.6877714 0.6884760 0.6892909 0.6902160 0.6912513
[148] 0.6923966 0.6936519 0.6950172 0.6964926 0.6980780 0.6997737 0.7015797
[155] 0.7034960 0.7055230 0.7076607 0.7099094 0.7122692 0.7147403 0.7173230
[162] 0.7200176 0.7228242 0.7257432 0.7287747 0.7319191 0.7351765 0.7385473
[169] 0.7420316 0.7456296 0.7493416 0.7531678 0.7571082 0.7611631 0.7653325
[176] 0.7696165 0.7740150 0.7785281 0.7831557 0.7878977 0.7927537 0.7977237
[183] 0.8028072 0.8080038 0.8133129 0.8187341 0.8242665 0.8299094 0.8356618
[190] 0.8415228 0.8474910 0.8535652 0.8597439 0.8660255 0.8724082 0.8788900
[197] 0.8854688 0.8921422 0.8989077 0.9057626 0.9127039 0.9197284 0.9268327
[204] 0.9340131 0.9412657 0.9485862 0.9559703 0.9634132 0.9709098 0.9784550
[211] 0.9860430 0.9936681 1.0013239 1.0090040 1.0167015 1.0244095 1.0321203
[218] 1.0398263 1.0475195 1.0551915 1.0628337 1.0704372 1.0779928 1.0854911
[225] 1.0929224 1.1002769 1.1075443 1.1147145 1.1217769 1.1287209 1.1355359
[232] 1.1422109 1.1487352 1.1550979 1.1612881 1.1672950 1.1731079 1.1787162
[239] 1.1841093 1.1892772 1.1942098 1.1988974 1.2033306 1.2075006 1.2113986
[246] 1.2150166 1.2183470 1.2213826 1.2241169 1.2265439 1.2286584 1.2304556
[253] 1.2319316 1.2330830 1.2339073 1.2344027
FitAR documentation built on May 2, 2019, 3:22 a.m.
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Description Usage Arguments Details Value Author(s) See Also Examples
Description
Spectral density function of AR(p) is computed.
Usage
1 | ARSdf(phi, pFFT = 8)
|
Arguments
phi |
AR Coefficient vector |
pFFT |
FFT with 2^pFFF frequencies, default 8 |
Details
The Fast Fourier Transform (FFT) is used to compute the spectral density function.
Value
A vector of the density function values, (f(1),..., f(2^pFFF))
Author(s)
A.I. McLeod and Y. Zhang
See Also
Examples
1 2 |
Example output
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
[1] 25.0000000 24.9249280 24.7024039 24.3402664 23.8508254 23.2498558
[7] 22.5554060 21.7865776 20.9624105 20.1009680 19.2186671 18.3298624
[13] 17.4466530 16.5788730 15.7342121 14.9184216 14.1355640 13.3882776
[19] 12.6780325 12.0053674 11.3700973 10.7714924 10.2084260 9.6794956
[25] 9.1831191 8.7176103 8.2812367 7.8722628 7.4889821 7.1297394
[31] 6.7929466 6.4770921 6.1807467 5.9025662 5.6412909 5.3957448
[37] 5.1648322 4.9475350 4.7429079 4.5500748 4.3682242 4.1966051
[43] 4.0345224 3.8813332 3.7364429 3.5993014 3.4693998 3.3462670
[49] 3.2294670 3.1185960 3.0132798 2.9131716 2.8179496 2.7273152
[55] 2.6409912 2.5587198 2.4802616 2.4053936 2.3339083 2.2656124
[61] 2.2003256 2.1378797 2.0781178 2.0208933 1.9660690 1.9135167
[67] 1.8631164 1.8147555 1.7683289 1.7237374 1.6808885 1.6396950
[73] 1.6000749 1.5619513 1.5252518 1.4899081 1.4558560 1.4230350
[79] 1.3913878 1.3608606 1.3314026 1.3029655 1.2755040 1.2489750
[85] 1.2233379 1.1985542 1.1745873 1.1514026 1.1289673 1.1072504
[91] 1.0862223 1.0658549 1.0461216 1.0269970 1.0084570 0.9904788
[97] 0.9730404 0.9561212 0.9397013 0.9237618 0.9082848 0.8932531
[103] 0.8786503 0.8644608 0.8506696 0.8372625 0.8242259 0.8115467
[109] 0.7992125 0.7872113 0.7755317 0.7641627 0.7530940 0.7423155
[115] 0.7318175 0.7215908 0.7116266 0.7019165 0.6924522 0.6832260
[121] 0.6742304 0.6654581 0.6569022 0.6485560 0.6404133 0.6324677
[127] 0.6247134 0.6171447 0.6097561 0.6025423 0.5954983 0.5886191
[133] 0.5819000 0.5753365 0.5689242 0.5626589 0.5565365 0.5505530
[139] 0.5447047 0.5389879 0.5333991 0.5279349 0.5225919 0.5173670
[145] 0.5122572 0.5072593 0.5023707 0.4975884 0.4929099 0.4883325
[151] 0.4838537 0.4794711 0.4751823 0.4709851 0.4668772 0.4628566
[157] 0.4589211 0.4550688 0.4512977 0.4476060 0.4439919 0.4404535
[163] 0.4369892 0.4335973 0.4302763 0.4270245 0.4238405 0.4207228
[169] 0.4176700 0.4146807 0.4117536 0.4088873 0.4060808 0.4033326
[175] 0.4006416 0.3980068 0.3954269 0.3929009 0.3904278 0.3880065
[181] 0.3856360 0.3833154 0.3810438 0.3788201 0.3766437 0.3745135
[187] 0.3724289 0.3703889 0.3683927 0.3664397 0.3645291 0.3626602
[193] 0.3608323 0.3590446 0.3572966 0.3555876 0.3539169 0.3522841
[199] 0.3506884 0.3491294 0.3476064 0.3461190 0.3446666 0.3432488
[205] 0.3418649 0.3405146 0.3391974 0.3379129 0.3366605 0.3354399
[211] 0.3342508 0.3330926 0.3319650 0.3308676 0.3298002 0.3287622
[217] 0.3277534 0.3267735 0.3258222 0.3248990 0.3240039 0.3231364
[223] 0.3222962 0.3214832 0.3206971 0.3199376 0.3192044 0.3184975
[229] 0.3178164 0.3171611 0.3165313 0.3159269 0.3153475 0.3147932
[235] 0.3142636 0.3137587 0.3132783 0.3128222 0.3123903 0.3119825
[241] 0.3115987 0.3112386 0.3109023 0.3105897 0.3103005 0.3100348
[247] 0.3097925 0.3095735 0.3093776 0.3092050 0.3090555 0.3089291
[253] 0.3088257 0.3087453 0.3086879 0.3086535
[1] 2.0408163 2.0402645 2.0386113 2.0358628 2.0320295 2.0271258 2.0211700
[8] 2.0141842 2.0061938 1.9972277 1.9873178 1.9764988 1.9648078 1.9522842
[15] 1.9389692 1.9249056 1.9101374 1.8947098 1.8786683 1.8620591 1.8449283
[22] 1.8273219 1.8092854 1.7908640 1.7721017 1.7530416 1.7337258 1.7141948
[29] 1.6944880 1.6746429 1.6546958 1.6346809 1.6146310 1.5945770 1.5745481
[36] 1.5545717 1.5346735 1.5148773 1.4952055 1.4756785 1.4563153 1.4371332
[43] 1.4181481 1.3993744 1.3808250 1.3625117 1.3444449 1.3266338 1.3090865
[50] 1.2918099 1.2748102 1.2580924 1.2416608 1.2255187 1.2096689 1.1941132
[57] 1.1788530 1.1638890 1.1492213 1.1348498 1.1207735 1.1069913 1.0935016
[64] 1.0803026 1.0673920 1.0547674 1.0424261 1.0303652 1.0185816 1.0070719
[71] 0.9958329 0.9848610 0.9741526 0.9637040 0.9535115 0.9435713 0.9338795
[78] 0.9244322 0.9152257 0.9062560 0.8975193 0.8890117 0.8807295 0.8726687
[85] 0.8648258 0.8571969 0.8497784 0.8425667 0.8355583 0.8287496 0.8221373
[92] 0.8157179 0.8094882 0.8034449 0.7975849 0.7919052 0.7864026 0.7810742
[99] 0.7759172 0.7709289 0.7661063 0.7614471 0.7569484 0.7526080 0.7484233
[106] 0.7443920 0.7405118 0.7367805 0.7331961 0.7297563 0.7264593 0.7233032
[113] 0.7202860 0.7174061 0.7146616 0.7120509 0.7095725 0.7072248 0.7050064
[120] 0.7029159 0.7009519 0.6991132 0.6973986 0.6958068 0.6943369 0.6929877
[127] 0.6917583 0.6906478 0.6896552 0.6887797 0.6880206 0.6873772 0.6868487
[134] 0.6864345 0.6861342 0.6859470 0.6858725 0.6859104 0.6860601 0.6863214
[141] 0.6866939 0.6871773 0.6877714 0.6884760 0.6892909 0.6902160 0.6912513
[148] 0.6923966 0.6936519 0.6950172 0.6964926 0.6980780 0.6997737 0.7015797
[155] 0.7034960 0.7055230 0.7076607 0.7099094 0.7122692 0.7147403 0.7173230
[162] 0.7200176 0.7228242 0.7257432 0.7287747 0.7319191 0.7351765 0.7385473
[169] 0.7420316 0.7456296 0.7493416 0.7531678 0.7571082 0.7611631 0.7653325
[176] 0.7696165 0.7740150 0.7785281 0.7831557 0.7878977 0.7927537 0.7977237
[183] 0.8028072 0.8080038 0.8133129 0.8187341 0.8242665 0.8299094 0.8356618
[190] 0.8415228 0.8474910 0.8535652 0.8597439 0.8660255 0.8724082 0.8788900
[197] 0.8854688 0.8921422 0.8989077 0.9057626 0.9127039 0.9197284 0.9268327
[204] 0.9340131 0.9412657 0.9485862 0.9559703 0.9634132 0.9709098 0.9784550
[211] 0.9860430 0.9936681 1.0013239 1.0090040 1.0167015 1.0244095 1.0321203
[218] 1.0398263 1.0475195 1.0551915 1.0628337 1.0704372 1.0779928 1.0854911
[225] 1.0929224 1.1002769 1.1075443 1.1147145 1.1217769 1.1287209 1.1355359
[232] 1.1422109 1.1487352 1.1550979 1.1612881 1.1672950 1.1731079 1.1787162
[239] 1.1841093 1.1892772 1.1942098 1.1988974 1.2033306 1.2075006 1.2113986
[246] 1.2150166 1.2183470 1.2213826 1.2241169 1.2265439 1.2286584 1.2304556
[253] 1.2319316 1.2330830 1.2339073 1.2344027
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