SpktWelchDensity: SpktWelchDensity

In shapelets/khiva-r: KHIVA-R library.

Description

Estimates the cross power spectral density of the time series array at different frequencies. To do so, the time series is first shifted from the time domain to the frequency domain.

Usage

SpktWelchDensity(arr, coeff)

Arguments

arr	KHIVA array with the time series.
coeff	The coefficient to be returned.

Details

Welch's method computes an estimate of the power spectral density by dividing the data into overlapping segments, computing a modified periodogram for each segment and averaging the periodograms. [1] P. Welch, "The use of the fast Fourier transform for the estimation of power spectra: A method based on time averaging over short, modified periodograms", IEEE Trans. Audio Electroacoust. vol. 15, pp. 70-73, 1967. [2] M.S. Bartlett, "Periodogram Analysis and Continuous Spectra", Biometrika, vol. 37, pp. 1-16, 1950. [3] Rabiner, Lawrence R., and B. Gold. "Theory and Application of Digital Signal Processing" Prentice-Hall, pp. 414-419, 1975.

Value

: KHIVA array containing the power spectrum of the different frequencies for each time series in arr.

shapelets/khiva-r documentation built on June 10, 2019, 4:58 a.m.