coda (version 0.19-3)

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).

Usage

spectrum0.ar(x)

Arguments

x

A time series.

Value

A list with the following values

spec

The predicted value of the spectral density at frequency zero.

order

The 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.

See Also

spectrum, spectrum0, glm.