bispec: Bispectrum

In timsac: Time Series Analysis and Control Package

Bispectrum

Description

Compute bi-spectrum using the direct Fourier transform of sample third order moments.

Usage

bispec(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 the 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 pspec is plotted as log(pspec).
plot	logical. If TRUE (default), the spectrum pspec 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

pspec	power spectrum smoothed by 'window'.
sig	significance.
cohe	coherence.
breal	real part of bispectrum.
bimag	imaginary part of bispectrum.
exval	approximate expected value of coherence under Gaussian assumption.

References

H.Akaike, E.Arahata and T.Ozaki (1975) Computer Science Monograph, No.6, Timsac74, A Time Series Analysis and Control Program Package (2). The Institute of Statistical Mathematics.

Examples

data(bispecData)
bispec(bispecData, lag = 30)

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