spec.ar
Estimate Spectral Density of a Time Series from AR Fit
Fits an AR model to x
(or uses the existing fit) and computes
(and by default plots) the spectral density of the fitted model.
- Keywords
- ts
Usage
spec.ar(x, n.freq, order = NULL, plot = TRUE, na.action = na.fail, method = "yule-walker", ...)
Arguments
- x
- A univariate (not yet:or multivariate) time series or the
result of a fit by
ar
. - n.freq
- The number of points at which to plot.
- order
- The order of the AR model to be fitted. If omitted, the order is chosen by AIC.
- plot
- Plot the periodogram?
- na.action
NA
action function.- method
method
forar
fit.- ...
- Graphical arguments passed to
plot.spec
.
Value
-
An object of class
"spec"
.
The result is returned invisibly if plot
is true.
Note
The multivariate case is not yet implemented.
Warning
Some authors, for example Thomson (1990), warn strongly that AR spectra can be misleading.
References
Thompson, D.J. (1990) Time series analysis of Holocene climate data. Phil. Trans. Roy. Soc. A 330, 601--616.
Venables, W.N. and Ripley, B.D. (2002) Modern Applied Statistics with S. Fourth edition. Springer. (Especially page 402.)
See Also
Examples
library(stats)
require(graphics)
spec.ar(lh)
spec.ar(ldeaths)
spec.ar(ldeaths, method = "burg")
spec.ar(log(lynx))
spec.ar(log(lynx), method = "burg", add = TRUE, col = "purple")
spec.ar(log(lynx), method = "mle", add = TRUE, col = "forest green")
spec.ar(log(lynx), method = "ols", add = TRUE, col = "blue")
Community examples
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