spectrum0.ar: Estimate spectral density at zero
Description
The spectral density at frequency zero is estimated by fitting an
autoregressive model. spectrum0(x)/length(x)
estimates the
variance of mean(x)
.Value
- A list with the following values
- specThe predicted value of the spectral density at frequency zero.
- orderThe order of the fitted model
Details
The ar()
function to fit an autoregressive model to the time
series x. For multivariate time series, separate models are fitted for
each column. The value of the spectral density at zero is then given
by a well-known formula.