auspec {timsac}R Documentation

Power Spectrum

Description

Compute power spectrum estimates for two trigonometric windows of Blackman-Tukey type by Goertzel method.

Usage

auspec(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 time series y.

window

character string giving the definition of smoothing window. Allowed values are "Akaike" (default) or "Hanning".

log

logical. If TRUE, the spectrum spec is plotted as log(spec).

plot

logical. If TRUE (default) the spectrum spec 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

spec

spectrum smoothing by window

stat

test statistics.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

y <- arima.sim(list(order=c(2,0,0), ar=c(0.64,-0.8)), n=200)
auspec(y, log=TRUE)
[Package timsac version 1.3.5 Index]