kza (version 1.01)

kzp: Kolmogorov-Zurbenko Periodogram

Description

Kolmogorov-Zurbenko periodogram and smoothing using DiRienzo-Zurbenko (DZ) or Neagu-Zurbenko (NZ) methods.

Usage

kzp(y, m=round(length(y)/10), k=1, f=NULL, double_frequency=FALSE)

Arguments

y

The raw data.

m

The width of filtering window

k

The number of iterations for the KZFT

f

The frequency that KZFT is applied at.

double_frequency

The return vector is half the width of the filtering window, setting this to true will give the second half.

Details

The Kolmogorov-Zurbenko Periodogram is an estimate of the spectral density using the Kolmogorov-Zurbenko Fourier Transform (KZFT).

References

I. G. Zurbenko, 1986: The spectral Analysis of Time Series. North-Holland, 248 pp. I. G. Zurbenko, P. S. Porter, Construction of high-resolution wavelets, Signal Processing 65: 315-327, 1998. A. G. DiRienzo, I. G. Zurbenko, Semi-adaptive nonparametric spectral estimation, Journal of Computational and Graphical Statistics 8(1): 41-59, 1998. R. Neagu, I. G. Zurbenko, Algorithm for adaptively smoothing the log-periodgram, Journal of the Franklin Institute 340: 103-123, 2003. Wei Yang and Igor Zurbenko, kzft: Kolmogorov-Zurbenko Fourier Transform and Applications, R-Project 2007.

See Also

kzft, kztp, smooth_kzp, plot.kzp,

Examples

#example 
t<-1:5000
y<-1.1*sin(2*pi*0.3*t)+7*sin(2*pi*0.4*t)+10*rnorm(length(t))
a<-kzp(y,m=1000)
plot.kzp(a,c=0.03)