timsac (version 1.3.0)

bispec: Bispectrum

Description

Compute bi-spectrum using the direct Fourier transform of sample third order moments.

Usage

bispec(y, lag=NULL, window="Akaike", log=FALSE, plot=TRUE)

Arguments

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.

Value

• pspec
  power spectrum smoothed by window.
• sig
  significance.
• cohe
  coherence.
• breal
  real part of bispectrum.
• bimag
  imaginary part of bispectrum.
• exval
  approximate expected value of coherence under Gaussian assumption.

Details

rlll{ 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 }

References

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.

Examples

data(bispecData)
  bispec(bispecData, lag=30)