auspec {timsac} | R Documentation |
Compute power spectrum estimates for two trigonometric windows of Blackman-Tukey type by goertzel method.
auspec(y, lag=NULL, window="Akaike", log=FALSE, plot=TRUE)
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. |
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
spec |
spectrum smoothing by "window" |
stat |
test statistics. |
H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.
y <- arima.sim(list(order=c(2,0,0), ar=c(0.64,-0.8)), n=200) auspec(y, log=TRUE)