tvspc

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Evolutionary Power Spectra by Time Varying AR Model

Estimate evolutionary power spectra by time varying AR model.

Keywords
ts
Usage
tvspc(arcoef, sigma2, var = NULL, span = 20, nf = 200)
Arguments
arcoef

time varying AR coefficients.

sigma2

variance of the observational noise.

var

time varying variance.

span

local stationary span.

nf

number of frequencies in evaluating spectrum.

Value

return an object of class "tvspc".

References

Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.

Kitagawa, G. and Gersch, W. (1996) Smoothness Priors Analysis of Time Series. Lecture Notes in Statistics, No.116, Springer-Verlag.

Kitagawa, G. and Gersch, W. (1985) A smoothness priors time varying AR coefficient modeling of nonstationary time series. IEEE trans. on Automatic Control, AC-30, 48-56.

Aliases
  • tvspc
Examples
# NOT RUN {
# seismic data
data(MYE1F)
z <- tvar(MYE1F, trend.order = 2, ar.order = 8, span = 20,
          outlier = c(630, 1026), tau2.ini = 6.6e-06, delta = 1.0e-06)
spec <- tvspc(z$arcoef, z$sigma2)
plot(spec, theta = 30, phi = 40, expand = 0.5)
# }
Documentation reproduced from package TSSS, version 1.2.3, License: GPL (>= 2)

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