R: Spectral Density Estimation

spectrum {stats} | R Documentation

## Spectral Density Estimation

### Description

The `spectrum` function estimates the spectral density of a time series.

### Usage

    spectrum(x, ..., method = c("pgram", "ar"))

### Arguments

`x` | A univariate or multivariate time series.
`method` | String specifying the method used to estimate the spectral density. Allowed methods are `"pgram"` (the default) and `"ar"`.
`...` | Further arguments to specific spec methods or `plot.spec`.

### Details

`spectrum` is a wrapper function which calls the methods `spec.pgram` and `spec.ar`.

The spectrum here is defined with scaling `1/frequency(x)`, following S-PLUS. This makes the spectral density a density over the range `(-frequency(x)/2, +frequency(x)/2]`, whereas a more common scaling is 2π and range (-0.5, 0.5] (e.g., Bloomfield) or 1 and range (-π, π].

If available, a confidence interval will be plotted by `plot.spec`: this is asymmetric, and the width of the centre mark indicates the equivalent bandwidth.

### Value

An object of class `"spec"`, which is a list containing at least the following components:

`freq` | vector of frequencies at which the spectral density is estimated. (Possibly approximate Fourier frequencies.) The units are the reciprocal of cycles per unit time (and not per observation spacing): see ‘Details’ below.
`spec` | Vector (for univariate series) or matrix (for multivariate series) of estimates of the spectral density at frequencies corresponding to `freq`.
`coh` | `NULL` for univariate series. For multivariate time series, a matrix containing the squared coherency between different series. Column i + (j - 1) * (j - 2)/2 of `coh` contains the squared coherency between columns i and j of `x`, where i < j.
`phase` | `NULL` for univariate series. For multivariate time series a matrix containing the cross-spectrum phase between different series. The format is the same as `coh`.
`series` | The name of the time series.
`snames` | For multivariate input, the names of the component series.
`method` | The method used to calculate the spectrum.

The result is returned invisibly if `plot` is true.

### Note

The default plot for objects of class `"spec"` is quite complex, including an error bar and default title, subtitle and axis labels. The defaults can all be overridden by supplying the appropriate graphical parameters.

### Author(s)

Martyn Plummer, B.D. Ripley

### References

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-PLUS. Fourth edition. Springer. (Especially pages 392–7.)

### See Also

`spec.ar`, `spec.pgram`; `plot.spec`.

### Examples

    require(graphics)

    ## Examples from Venables & Ripley
    ## spec.pgram
    par(mfrow=c(2,2))
    spectrum(lh)
    spectrum(lh, spans=3)
    spectrum(lh, spans=c(3,3))
    spectrum(lh, spans=c(3,5))

    spectrum(ldeaths)
    spectrum(ldeaths, spans=c(3,3))
    spectrum(ldeaths, spans=c(3,5))
    spectrum(ldeaths, spans=c(5,7))
    spectrum(ldeaths, spans=c(5,7), log="dB", ci=0.8)

    # for multivariate examples see the help for spec.pgram

    ## spec.ar
    spectrum(lh, method="ar")
    spectrum(ldeaths, method="ar")

[Package stats version 2.6.2 Index]