Description Usage Arguments Details Value References See Also Examples
This function computes the periodogram from a stationary time serie. Returns the periodogram, its graph and the Fourier frequency.
1  periodogram(y, plot = TRUE, include.taper = FALSE)

y 
(type: numeric) data vector 
plot 
(type: logical) logical argument which allows to plot the periodogram. Defaults to TRUE. 
include.taper 
(type: logical) logical argument which by default is

The tapered periodogram it is given by
I(λ) = \frac{D_n(λ)^2}{2π H_{2,n}(0)}
with D(λ) = ∑_{s=0}^{n1} h
≤ft(\frac{s}{N}\right) y_{s+1}\,
e^{i\,λ\,s}, H_{k,n} = ∑_{s=0}^{n1}h
≤ft(\frac{s}{N}\right)^k\,
e^{i\,λ\,s} and λ are Fourier frequencies defined as
2π k/n, with k = 1,\,…,\, n.
The data taper used is the cosine bell function,
h(x) = \frac{1}{2}[1\cos(2π x)]. If the series has missing data,
these are replaced by the average of the data and n it is corrected by
$nN$, where N is the amount of missing values of serie. The plot of
the periodogram is periodogram
values vs. λ.
A list with with the periodogram and the lambda values.
For more information on theoretical foundations and estimation methods see \insertRefbrockwell2002introductionLSTS \insertRefdahlhaus1997fittingLSTS
fft
, Mod
,
smooth.spline
.
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