regspec: Non-parametric Multirate Spectral Density Estimation via...

In regspec: Non-Parametric Bayesian Spectrum Estimation for Multirate Data

Non-parametric Multirate Spectral Density Estimation via Linear Bayes.

Description

This function computes a linear Bayes estimate and approximate credible interval for the spectral density function of a realization from a (second-order stationary) time series. The function also has the ability to update an existing spectral estimate using time series data at a (potentially) different sampling rate, and this can be repeated multiple times. In this way, the routine can be used to estimate the spectrum, and credible intervals, from time series data taken at multiple sampling rates.

Usage

regspec(D, deltat=1, nb=100, varmult=2, smthpar=0.8, ebeta=NULL,
	vbeta=NULL, filter=NULL, freq.out=seq(0,0.5,length=200),
	plot.spec=TRUE, plot.log=FALSE, plot.pgram=FALSE,
	plot.intervals=TRUE, ylim=NULL, SARIMA=list(sigma2=1),
	centred=FALSE,intname=NULL,...)

Arguments

D	Vector. A time series of observations. If no prior information is specified (ie "starting case") then length of series has to be >= 2
deltat	Integer. The number of unit time intervals between observations in the data set D.
nb	Integer. The number of basis functions used to describe the spectral density.
varmult	Scalar. A scaling factor for the variance of the basis coefficients for the log-spectrum.
smthpar	Scalar. A roughness parameter between 0 and 1, controlling the exponential decay of the basis coefficient variances. Smaller values correspond to greater preference for smoothness.
ebeta	Vector. Prior expectations for the basis coefficients of the log spectrum. Specifying prior moments for the coefficients overrides prior information encoded in forvarest.
vbeta	Matrix. Prior covariances for the basis coefficients of the log spectrum.
filter	Vector. A known vector of filter coefficients arising from the observation process prior to any subsampling. The default is NULL, which corresponds to direct observation and a filter vector of (1,0,0,...). If the data are produced by taking a linear combination of the current and previous process values with weights w_t, for example, one would set this vector to be (w_{t},w_{t-1}).
freq.out	Vector. The frequencies at which to evaluate the estimated spectral density.
plot.spec	Logical. If TRUE some kind of spectral plot is produced. If FALSE then no plot is produced.
plot.log	Logical. Should the estimate of the log-spectrum be plotted? Plots the un-logged spectrum if FALSE.
plot.pgram	Logical. Should the periodogram values be plotted on top of the spectrum estimate?
plot.intervals	Logical. Should the pointwise credible intervals be plotted?
ylim	The usual limits that specify the range of values on the y-axis
SARIMA	List. A list encoding the SARIMA model that acts as the intercept, or base line, for the non-parametric estimate of the log-spectrum. The default is white noise with variance one. The log-spectrum basis coefficients parameterize a deviation away from the SARIMA model's log-spectrum. The contents of the SARIMA list are formatted in line with the format used by the package TSA (see the Examples section for examples).
centred	Logical. Has the data been centred? If the data D has exactly zero mean, then the log-periodogram will return infinite values. By setting this option to TRUE, the infinite log-periodogram value is ignored.
intname	Character. A name for the units the time intervals are measured in. This is just used to label the axes.
...	Other arguments for call to plot

Details

Full technical details of the calculations preformed by regspec are documented in Nason, Powell, Elliott and Smith (2016) listed in the references.

This function can be used to produce an estimate of the spectrum of a stationary time series realization using linear Bayes methods. The simplest call just requires the user to specify D the vector of time series observations.

More specialised uses of this function are as follows. 1. One can additionally specify the value of the argument deltat to be the sampling interval of the time series. E.g. deltat=2 means that the time series observations were sampled every two units of time. With this argument specified the spectrum is calculated/(depicted if plotted) still on the frequency scale zero to one half, which is the scale normally associated with unit interval sampling. However, what changes is that the spectral estimate is neutrally extended from the subsampled frequency range to the unit interval range. For example, if deltat=2 then the usual frequency range assocated with data at this sampling interval would be zero to one quarter. However, the premise of regspec is that ultimately the series you obtained came from a unit sampled series and so the real spectrum you would like to estimate is one zero to one half. Since we have no information on the higher frequencies zero to one quarter the code essentially unfolds the spectrum equally about the line of symmetry at one quarter.

If deltat=3 or other higher values, similar unfoldings occur. For example, if deltat=4 then two unfoldings about one quarter and then one-eighth and three-eighths are affected.

Then, subsequent calls to regspec at different sampling rates can alter the spectrum depending on the information they contain.

Another key parameter is the smthpar which is set at 0.8 by default which usually gives a nice balance between fidelity and smoothness. Increasing this parameter results in a less smooth estimate.

By default aliasing is assumed to be induced by subsampling. For example, when deltat=2 then it is assumed that the series you have contains the evenly-indexed observations of some putative underlying integer sampled series. However, aliasing can arise in other ways, such as when your unit sampled underlying series has been filtered. For example, if one observes quarterly totals, where each total is the result of summing over consecutive three month periods then the filter is c(1,1,1).

A plot of the estimated spectrum is produced automatically unless the argument plot.spec is set to FALSE.

Value

The function's output is a list with the following elements:

freq.out	Vector. The frequencies at which the estimated spectral density is computed.
spec	Vector. Point estimates of the spectrum values. Each of these is computed by exponentiating the sum of the expectation for the log spectrum and half its variance. This is the expectation consistent with the log-spectrum being normally distributed.
logspec	Vector. Point estimates for the log-spectrum values. These are the adjusted expectations of the log-spectrum.
interval	Matrix. Bounds for the 90 percent credible interval for the the spectral density.
ebeta	Vector. The adjusted expectation for the basis coefficients of the logged spectral density. They contain information on the current estimate of the spectrum and can be supplied to a further call of regspec for adjustment by new data.
vbeta	Matrix. The adjusted variance matrix for the basis coefficients of the logged spectral density. Like ebeta this matrix can be resupplied to a further call to regspec for adjustment.
pgram	List. The periodogram ordinates used in the adjustment.

Author(s)

Ben Powell code. Ben Powell and Guy Nason on help.

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).

Examples

## The examples here use datasets Dfexample, Dpexample2, Dpexample3 and
## spec.true, which should be loaded automatically with the package.


# FIRST EXAMPLE
# Estimates a spectrum from a time series observed at integer time points.
#
# Plot a 'point' estimate and intervals around it.
# Also plot the true spectrum afterwards with a dashed line
#
adjustment <- regspec(D=Dfexample[1:24], deltat=1, smthpar=0.8,
		ylim=c(0,60), plot.pgram=TRUE)

lines(spec.true, col=1, lwd=3, lty=2)

#
#
# SECOND EXAMPLE
# Does he same except the observations are sampled at every two time units.
#
# Plot a 'point' estimate and intervals around it.

adjustment <- regspec(D=Dpexample2, deltat=2, smthpar=0.8, ylim=c(0,60))

lines(spec.true, col=1, lwd=3, lty=2)

#
# THIRD EXAMPLE
# Now estimate a spectrum from unit sampled data and put answer in the
# object called adjustment1. Then use the estimated quantities in this
# object (notably the ebeta and vbeta components) to update the spectral
# estimate by a second call to regspec using new, data sampled at even time
# points and put the result into the adjustment2 object
#

adjustment1 <- regspec(D=Dfexample[1:24], deltat=1, smthpar=0.8,
	ylim=c(0,60))

lines(spec.true, col=1, lwd=3, lty=2)

adjustment2 <- regspec(D=Dpexample2, deltat=2, ebeta=adjustment1$ebeta,
	vbeta=adjustment1$vbeta, ylim=c(0,60))

lines(spec.true, col=1, lwd=3, lty=2)


# FOURTH EXAMPLE
# Estimate spectrum from series observed at each third integer.
# Plot a 'point' estimate and intervals around it.

adjustment <- regspec(D=Dpexample3, deltat=3, smthpar=0.8, ylim=c(0,60))

lines(spec.true, col=1, lwd=3, lty=2)

# FIFTH EXAMPLE
# Estimate a spectrum from one time series of observations at every
# time point and then update with another at every third time point.
#
# Note how information from the first spectral estimate gets passed to
# the second call of regspec via the ebeta and vbeta components/arguments.
#

adjustment1 <- regspec(D=Dfexample[1:24], deltat=1, smthpar=0.8, ylim=c(0,60))

lines(spec.true, col=1, lwd=3, lty=2)

adjustment2 <- regspec(D=Dpexample3, deltat=3, ebeta=adjustment1$ebeta,
	vbeta=adjustment1$vbeta, ylim=c(0,60))

lines(spec.true, col=1, lwd=3, lty=2)

# SIXTH EXAMPLE
#
# Estimating a spectrum from a time series of filtered observations.

# Filter the example data.

# Create empty vector
Dfexample.filtered <- c()

# Create filter
filter.vect <- 4*runif(5)

# Now produce filtered data
m <- length(filter.vect)-1

for(i in 1:(length(Dfexample)-m)){
	Dfexample.filtered[i] <- crossprod(Dfexample[i+m-0:m],filter.vect)
	}

# Now use filterered data to try and estimate spectrum of original data

adjustment1 <- regspec(D=Dfexample.filtered, smthpar=0.8, filter=filter.vect,
	ylim=c(0,80), plot.pgram=TRUE)

lines(spec.true, col=1, lwd=3, lty=2)

# Note here how the periodogram values do not correspond to the estimated
# spectrum because the periodogram of the  filtered data is computed and
# plotted, but then is used to estimate the spectrum of the un-filtered
# process.


# SEVENTH EXAMPLE
# Estimate spectrum according to its deviation from a known SARIMA model.

# Define a SARIMA model like this one

SARIMA0 <- list(ar=0.3,sigma2=1,seasonal=list(sar=0.5,sma=0,period=12))

# or like this one

SARIMA0 <- list(ar=c(-0.5, 0.4, 0.8), ma=0.2, sigma2=1)

# Then perform adjustments as before

adjustment <- regspec(D=Dfexample[1:16], deltat=1, smthpar=0.8, ylim=c(0,60),
	SARIMA=SARIMA0, plot.pgram=TRUE)

adjustment <- regspec(D=Dpexample2, deltat=2, smthpar=0.8, ylim=c(0,60),
	SARIMA=SARIMA0, plot.pgram=TRUE)

lines(spec.true, col=1, lwd=3, lty=2)

# This is useful for introducing prior beliefs for the structural form of the
# spectrum. Specifically, it is useful for specifying a prior belief in
# seasonality.

regspec documentation built on Sept. 20, 2023, 5:07 p.m.