spec.pgram {stats} | R Documentation |

`spec.pgram`

calculates the periodogram using a fast Fourier
transform, and optionally smooths the result with a series of
modified Daniell smoothers (moving averages giving half weight to
the end values).

spec.pgram(x, spans = NULL, kernel, taper = 0.1, pad = 0, fast = TRUE, demean = FALSE, detrend = TRUE, plot = TRUE, na.action = na.fail, ...)

`x` |
univariate or multivariate time series. |

`spans` |
vector of odd integers giving the widths of modified Daniell smoothers to be used to smooth the periodogram. |

`kernel` |
alternatively, a kernel smoother of class
`"tskernel"` . |

`taper` |
specifies the proportion of data to taper. A split cosine bell taper is applied to this proportion of the data at the beginning and end of the series. |

`pad` |
proportion of data to pad. Zeros are added to the end of
the series to increase its length by the proportion `pad` . |

`fast` |
logical; if `TRUE` , pad the series to a highly composite
length. |

`demean` |
logical. If `TRUE` , subtract the mean of the
series. |

`detrend` |
logical. If `TRUE` , remove a linear trend from
the series. This will also remove the mean. |

`plot` |
plot the periodogram? |

`na.action` |
`NA` action function. |

`...` |
graphical arguments passed to `plot.spec` . |

The raw periodogram is not a consistent estimator of the spectral density, but adjacent values are asymptotically independent. Hence a consistent estimator can be derived by smoothing the raw periodogram, assuming that the spectral density is smooth.

The series will be automatically padded with zeros until the series
length is a highly composite number in order to help the Fast Fourier
Transform. This is controlled by the `fast`

and not the `pad`

argument.

The periodogram at zero is in theory zero as the mean of the series is removed (but this may be affected by tapering): it is replaced by an interpolation of adjacent values during smoothing, and no value is returned for that frequency.

A list object of class `"spec"`

(see `spectrum`

)
with the following additional components:

`kernel` |
The `kernel` argument, or the kernel constructed
from `spans` . |

`df` |
The distribution of the spectral density estimate can be
approximated by a (scaled) chi square distribution with `df` degrees
of freedom. |

`bandwidth` |
The equivalent bandwidth of the kernel smoother as defined by Bloomfield (1976, page 201). |

`taper` |
The value of the `taper` argument. |

`pad` |
The value of the `pad` argument. |

`detrend` |
The value of the `detrend` argument. |

`demean` |
The value of the `demean` argument. |

The result is returned invisibly if `plot`

is true.

Originally Martyn Plummer; kernel smoothing by Adrian Trapletti, synthesis by B.D. Ripley

Bloomfield, P. (1976) *Fourier Analysis of Time Series: An
Introduction.* Wiley.

Brockwell, P.J. and Davis, R.A. (1991) *Time Series: Theory and
Methods.* Second edition. Springer.

Venables, W.N. and Ripley, B.D. (2002) *Modern Applied
Statistics with S.* Fourth edition. Springer. (Especially
pp. 392–7.)

`spectrum`

, `spec.taper`

,
`plot.spec`

, `fft`

## Examples from Venables & Ripley spectrum(ldeaths) spectrum(ldeaths, spans = c(3,5)) spectrum(ldeaths, spans = c(5,7)) spectrum(mdeaths, spans = c(3,3)) spectrum(fdeaths, spans = c(3,3)) ## bivariate example mfdeaths.spc <- spec.pgram(ts.union(mdeaths, fdeaths), spans = c(3,3)) # plots marginal spectra: now plot coherency and phase plot(mfdeaths.spc, plot.type = "coherency") plot(mfdeaths.spc, plot.type = "phase") ## now impose a lack of alignment mfdeaths.spc <- spec.pgram(ts.intersect(mdeaths, lag(fdeaths, 4)), spans = c(3,3), plot = FALSE) plot(mfdeaths.spc, plot.type = "coherency") plot(mfdeaths.spc, plot.type = "phase") stocks.spc <- spectrum(EuStockMarkets, kernel("daniell", c(30,50)), plot = FALSE) plot(stocks.spc, plot.type = "marginal") # the default type plot(stocks.spc, plot.type = "coherency") plot(stocks.spc, plot.type = "phase") sales.spc <- spectrum(ts.union(BJsales, BJsales.lead), kernel("modified.daniell", c(5,7))) plot(sales.spc, plot.type = "coherency") plot(sales.spc, plot.type = "phase")

[Package *stats* version 2.5.0 Index]