psd: Adaptive, Sine-Multitaper Power Spectral Density and Cross Spectrum Estimation

Produces power spectral density estimates through iterative refinement of the optimal number of sine-tapers at each frequency. This optimization procedure is based on the method of Riedel and Sidorenko (1995), which minimizes the Mean Square Error (sum of variance and bias) at each frequency, but modified for computational stability. The same procedure can now be used to calculate the cross spectrum (multivariate analyses).

Package details

AuthorAndrew J. Barbour [aut, cre] (<>), Jonathan Kennel [aut] (<>), Robert L. Parker [aut]
MaintainerAndrew J. Barbour <>
LicenseGPL (>= 2)
URL Barbour and Parker (2014): Riedel and Sidorenko (1995):
Package repositoryView on CRAN
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psd documentation built on Feb. 1, 2022, 1:06 a.m.