bispec {timsac}R Documentation

Bispectrum

Description

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

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 values 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 aproximate 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 1.2.1 Index]