R: Estimate spectral density at zero

spectrum0.ar {coda} | R Documentation

## Estimate spectral density at zero

### Description

The spectral density at frequency zero is estimated by fitting an autoregressive model. `spectrum0(x)/length(x)` estimates the variance of `mean(x)`.

### Usage

    spectrum0.ar(x)

### Arguments

`x` | A time series.

### Details

The `ar()` function to fit an autoregressive model to the time series x. For multivariate time series, separate models are fitted for each column. The value of the spectral density at zero is then given by a well-known formula.

### Value

A list with the following values

`spec` | The predicted value of the spectral density at frequency zero.
`order` | The order of the fitted model

### Note

The definition of the spectral density used here differs from that used by `spec.pgram`. We consider the frequency range to be between 0 and 0.5, not between 0 and `frequency(x)/2`.

### See Also

`spectrum`, `spectrum0`, `glm`.

[Package coda version 0.19-1 Index]