Description Usage Arguments Value Author(s) See Also Examples
Draws the spectral density functions (SDFs) for standard long-memory processes including fractional difference (FD), seasonal persistent (SP), and seasonal fractional difference (SFD) processes.
1 2 3 4 |
freq |
vector of frequencies, normally from 0 to 0.5 |
d,d1,d2 |
fractional difference parameter |
fG,f1,f2 |
Gegenbauer frequency |
s |
seasonal parameter |
sigma2 |
innovations variance |
The power spectrum from an FD, SP or SFD process.
Brandon Whitcher
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | dB <- function(x) 10 * log10(x)
fdp.main <- expression(paste("FD", group("(",d==0.4,")")))
sfd.main <- expression(paste("SFD", group("(",list(s==12, d==0.4),")")))
spp.main <- expression(paste("SPP",
group("(",list(delta==0.4, f[G]==1/12),")")))
freq <- 0:512/1024
par(mfrow=c(2,2), mar=c(5-1,4,4-1,2), col.main="darkred")
plot(freq, dB(fdp.sdf(freq, .4)), type="l", xlab="frequency",
ylab="spectrum (dB)", main=fdp.main)
plot(freq, dB(spp.sdf(freq, .4, 1/12)), type="l", xlab="frequency",
ylab="spectrum (dB)", font.main=1, main=spp.main)
plot(freq, dB(sfd.sdf(freq, 12, .4)), type="l", xlab="frequency",
ylab="spectrum (dB)", main=sfd.main)
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