Computes cumulative normalized periodogram.
The time series you wish to compute the cumulative normalized periodogram.
Does as the title suggests
A list containing the following two components:
The Fourier frequencies where the cumulative normalized periodogram is evaluated at
The cumulative normalized periodogram.
Code was based on Professor Newton's explanation
G. P. Nason
Bartlett, M.S. (1967) Some Remarks on the Analysis of Time-Series. J. R. Statist. Soc. B, 54, 25-38.
Nason, G.P. and Savchev, D. (2014) White noise testing using wavelets. Stat, 3, 351-362. http://dx.doi.org/10.1002/sta4.69
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# # Use example time series # x <- rnorm(100) x.cp <- cumperiod(x) # # Can plot it, if you like # ## Not run: plot(x.cp$wp, x.cp$cumperiod, type="l", xlab="Frequency", ylab="Cumulative Normalized Periodogram") ## End(Not run) # # You can try replacing the x by, say, an AR(1) using arima.sim and # you'll get a very different shaped line, depending on the AR(1) # parameter.
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