psdcore: Multitaper power spectral density estimates of a series

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

Description

Compute power spectral density (PSD) estimates for the input series using sine multitapers. This is used by pspectrum for the adaptive estimation procedure.

Usage

psdcore(X.d, ...)

## S3 method for class 'ts'
psdcore(X.d, ...)

## S3 method for class 'matrix'
psdcore(X.d, X.frq, ...)

## Default S3 method:
psdcore(
  X.d,
  X.frq = NULL,
  ntaper = as.tapers(5),
  preproc = TRUE,
  na.action = stats::na.fail,
  plot = FALSE,
  refresh = FALSE,
  verbose = FALSE,
  fast = FALSE,
  ndecimate,
  ...
)

Arguments

X.d	the series to estimate a spectrum for
...	additional parameters
X.frq	scalar; the sampling information (see section Sampling)
ntaper	scalar, vector, or tapers; the number of sine tapers to apply at each frequency
preproc	logical; should X.d have a linear trend removed?
na.action	function to deal with NA values
plot	logical; should the estimates be shown compared to the spectrum-based estimates? Note that this will add some computation time, since the cosine-tapered periodogram is calculated inside pgram_compare.
refresh	logical; ensure a free environment prior to execution
verbose	logical; should warnings and messages be given?
fast	logical; use the faster method?
ndecimate	now ignored

Details

Tapering

The parameter ntaper specifies the number of sine tapers to be used at each frequency: equal tapers at each frequency for a scalar; otherwise, use ntaper[j] sine tapers at frequency[j].

Truncation

The series, with length N, is necessarily truncated so that 1+N/2 evenly spaced frequencies are returned. This truncation makes the series length “highly composite", which the discrete Fourier transform (DFT) is most efficient. The "fftw" vignette (accessed with vignette("fftw",package="psd")) shows how the performance of a DFT can be affected by series length.

Decimation

No longer supported. Setting ndecimate will not affect the results

Sampling

If X.frq is NULL, the value is assumed to be 1, unless X.d is a 'ts' object. If X.frq > 0 it's assumed the value represents frequency (e.g. Hz). If X.frq < 0 it's assumed the value represents interval (e.g. seconds).

Value

An on object of class 'amt','spec', which has a structure similar to a regular 'spec' object, but with a few additional fields, invisibly.

Author(s)

A.J. Barbour; original algorithm by R.L. Parker.

See Also

pspectrum, riedsid, parabolic_weights, pgram_compare

Examples

## Not run: #REX
library(psd)

##
## Multitaper PSD estimation
##

set.seed(1234)
X <- rnorm(1e3)

# use the defaults, and appeal to plot.spec
# sampling assumed to be 1
plot(psdcore(X))

# use more tapers, compare to stats::spectrum, and clear 
# env data from the previous calculation
psdcore(X, ntaper=10, plot=TRUE, refresh=TRUE)

# change the sampling frequency to 20
psdcore(X, X.frq=20, ntaper=10, plot=TRUE, refresh=TRUE)


## End(Not run)#REX

Example output

Loaded psd (1.2.0) -- Adaptive multitaper spectrum estimation

psd documentation built on Feb. 1, 2022, 1:06 a.m.