R: Bispectrum

bispec {timsac} | R Documentation

## Bispectrum

### Description

Compute bi-spectrum using the direct Fourier transform of sample third order moments.

### Usage

    bispec(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 the time series `y`.
`window` | character string giving the definition of smoothing window. Allowed strings are "Akaike" (default) or "Hanning".
`log` | logical. If `TRUE`, the spectrum `pspec` is plotted as log(`pspec`).
`plot` | logical. If `TRUE` (default), the spectrum `pspec` 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

`pspec` | power spectrum smoothed by '`window`'.
`sig` | significance.
`cohe` | coherence.
`breal` | real part of bispectrum.
`bimag` | imaginary part of bispectrum.
`exval` | approximate expected value of coherence under Gaussian assumption.

### References

H.Akaike, E.Arahata and T.Ozaki (1975) Computer Science Monograph, No.6, Timsac74, A Time Series Analysis and Control Program Package (2). The Institute of Statistical Mathematics.

### Examples

    data(bispecData)
    bispec(bispecData, lag = 30)

[Package timsac version 1.3.6 Index]