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 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 1.2.1 Index]