descomponer (version 1.6)

gdf: Get Frequency Data

Description

Transforms the data from the amplitude-time domain the amplitude-frequency domain pre-multiplied by the orthogonal matrix ,W, whose elements are defined in Harvey A.C. (1978).

Usage

gdf(y)

Arguments

y

a vector of the observed time-series values

Value

a vector of the estimated coefficients fourier

References

Harvey, A.C. (1978), Linear Regression in the Frequency Domain, International Economic Review, 19, 507-512.

Parra, F. (2014), Amplitude time-frequency regression, (http://econometria.wordpress.com/2013/08/21/estimation-of-time-varying-regression-coefficients/)

See Also

gdt

Examples

# NOT RUN {
n<-100;x<-seq(0,24*pi,length=n);y<-sin(x)+rnorm(n,sd=.3)
gdf(y)
# }
# NOT RUN {
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# }
# NOT RUN {
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# }