Estimate Spectral Density of a Time Series from AR Fit

spec.ar {stats}

R Documentation

Estimate Spectral Density of a Time Series from AR Fit

Description

Fits an AR model to x (or uses the existing fit) and computes (and by default plots) the spectral density of the fitted model.

Usage

spec.ar(x, n.freq, order = NULL, plot = TRUE, na.action = na.fail,
        method = "yule-walker", ...)

Arguments

`x`	A univariate (not yet:or multivariate) time series or the result of a fit by `ar`.
`n.freq`	The number of points at which to plot.
`order`	The order of the AR model to be fitted. If omitted, the order is chosen by AIC.
`plot`	Plot the periodogram?
`na.action`	`NA` action function.
`method`	`method` for `ar` fit.
`...`	Graphical arguments passed to `plot.spec`.

Value

An object of class "spec". The result is returned invisibly if plot is true.

Warning

Some authors, for example Thomson (1990), warn strongly that AR spectra can be misleading.

Note

The multivariate case is not yet implemented.

References

Thompson, D.J. (1990). Time series analysis of Holocene climate data. Philosophical Transactions of the Royal Society of London Series A, 330, 601–616. http://www.jstor.org/stable/53609.

Venables, W.N. and Ripley, B.D. (2002) Modern Applied Statistics with S. Fourth edition. Springer. (Especially page 402.)

Examples

require(graphics)

spec.ar(lh)

spec.ar(ldeaths)
spec.ar(ldeaths, method = "burg")

spec.ar(log(lynx))
spec.ar(log(lynx), method = "burg", add = TRUE, col = "purple")
spec.ar(log(lynx), method = "mle", add = TRUE, col = "forest green")
spec.ar(log(lynx), method = "ols", add = TRUE, col = "blue")

[Package stats version 3.5.0 Index]