bispec {timsac} | R Documentation |
Compute bi-spectrum using the direct Fourier transform of sample third order monents.
bispec(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 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. |
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
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. |
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.
data(bispecData) bispec(bispecData, lag=30)