spectrum0.ar: Estimate spectral density at zero

In coda: Output Analysis and Diagnostics for MCMC

Estimate spectral density at zero

Description

The spectral density at frequency zero is estimated by fitting an autoregressive model. spectrum0(x)/length(x) estimates the variance of mean(x).

Usage

spectrum0.ar(x) 

Arguments

x	A time series.

Details

The ar() function to fit an autoregressive model to the time series x. For multivariate time series, separate models are fitted for each column. The value of the spectral density at zero is then given by a well-known formula.

Value

A list with the following values

spec	The predicted value of the spectral density at frequency zero.
order	The order of the fitted model

Note

The definition of the spectral density used here differs from that used by spec.pgram. We consider the frequency range to be between 0 and 0.5, not between 0 and frequency(x)/2.

See Also

spectrum, spectrum0, glm.

coda documentation built on May 29, 2024, 11:23 a.m.