SDlagWest: Compute a lag-window estimator of the spectral density

In gregorkb/tscourse: Contains several functions for time series analysis.

Compute a lag-window estimator of the spectral density

Description

Compute a lag-window estimator of the spectral density

Usage

SDlagWest(X, L, window = parzen, nlambda = 10000, plot = TRUE)

Arguments

X	a numeric vector containing the observed data
L	the number of lags at which to truncate the autocovariance function.
window	the lag window function to be used. Default is the Parzen window.
nlambda	the number of values between -pi and pi for which the estimate of the spectral density should be computed.
plot	if TRUE then a plot of the estimated spectral density is produced.

Value

a list containing values of the estimated spectral density function and the corresponding frequencies.

gregorkb/tscourse documentation built on Oct. 3, 2022, 5:31 p.m.