kzp {kza} | R Documentation |
Kolmogorov-Zurbenko periodogram and smoothing using DiRienzo-Zurbenko (DZ) or Neagu-Zurbenko (NZ) methods.
kzp(z, m, k)
z |
The matrix output by KZFT |
m |
The width of window |
k |
The number of iterations for the KZFT |
The Kolmogorov-Zurbenko Periodogram is an estimate of the spectral density using the Kolmogorov-Zurbenko Fourier Transform (KZFT).
I. G. Zurbenko, 1986: The spectral Analysis of Time Series. North-Holland, 248 pp.
I. G. Zurbenko, P. S. Porter, Construction of high-resolution wavelets, Signal Processing 65: 315-327, 1998.
A. G. DiRienzo, I. G. Zurbenko, Semi-adaptive nonparametric spectral estimation, Journal of Computational and Graphical Statistics 8(1): 41-59, 1998.
R. Neagu, I. G. Zurbenko, Algorithm for adaptively smoothing the log-periodgram, Journal of the Franklin Institute 340: 103-123, 2003.
Wei Yang and Igor Zurbenko, kzft: Kolmogorov-Zurbenko Fourier Transform and Applications, R-Project 2007.
#example t<-1:5000 y<-1.1*sin(2*pi*0.3*t)+7*sin(2*pi*0.4*t)+10*rnorm(length(t)) m=1000 z <- kzft(y, m, 1, dim=2) a<-log(kzp(z$Complex,m,1)) spg.dz<-smooth(a,0.03, method="DZ") spg.nz<-smooth(a,0.03, method="NZ") omega<-seq(0,1,length=1000)[1:500] par(mfrow=c(2,2)) plot(omega,a,main="Raw periodogram",type="l", xlab="Frequency", ylab="") plot(omega,spg.dz,main="Smoothed Periodogram DZ method",type="l", xlab="Frequency", ylab="") plot(omega,spg.nz,main="Smoothed Periodogram NZ method",type="l", xlab="Frequency", ylab="")