Dfexample: Synthetic Data for Testing Functions in the regspec Package.

Description Details References

Description

spec.true is a matrix of coordinates for the spectral density of the ARMA(3,1) model with AR and MA coefficients (-0.5, 0.4, 0.8) and (0.2) respectively. This was the model used to simulate the example data sets Dfexample, Dpexample2 and Dpexample3, which consist of observations of the process at every time point, at every second time point and every third time point, respectively.

Details

See the package TSA for functions to calculate values of the spectral density for different ARMA models, and the function arima.sim for simulating time series from them.

References

Nason, G.P., Powell, B., Elliott, D. and Smith, P. (2016) Should We Sample a Time Series More Frequently? Decision Support via Multirate Spectrum Estimation. Journal of the Royal Statistical Society, Series A., 179, (to appear).


regspec documentation built on May 29, 2017, 6:53 p.m.