auspec: Power Spectrum

In timsac: Time Series Analysis and Control Package

Power Spectrum

Description

Compute power spectrum estimates for two trigonometric windows of Blackman-Tukey type by Goertzel method.

Usage

auspec(y, lag = NULL, window = "Akaike", log = FALSE, plot = TRUE)

Arguments

y	a univariate time series.
lag	maximum lag. Default is 2 \sqrt{n}, where n is the length of time series y.
window	character string giving the definition of smoothing window. Allowed strings are "Akaike" (default) or "Hanning".
log	logical. If TRUE, the spectrum spec is plotted as log(spec).
plot	logical. If TRUE (default), the spectrum spec is plotted.

Details

Hanning Window :	a1(0)=0.5,	a1(1)=a1(-1)=0.25,	a1(2)=a1(-2)=0
Akaike Window :	a2(0)=0.625,	a2(1)=a2(-1)=0.25,	a2(2)=a2(-2)=-0.0625

Value

spec	spectrum smoothing by 'window'
stat	test statistics.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

y <- arima.sim(list(order=c(2,0,0), ar=c(0.64,-0.8)), n = 200)
auspec(y, log = TRUE)

timsac documentation built on Sept. 30, 2023, 5:06 p.m.