TSSS (version 1.3.4-5)

tvspc: Evolutionary Power Spectra by Time Varying AR Model

Description

Estimate evolutionary power spectra by time varying AR model.

Usage

tvspc(arcoef, sigma2, var = NULL, span = 20, nf = 200)

Value

return an object of class "tvspc" giving power spectra, which has a

plot method (plot.tvspc).

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 power spectrum.

References

Kitagawa, G. (2020) Introduction to Time Series Modeling with Applications in R. 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.

Examples

# 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)