spec.ar

0th

Percentile

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 for ar 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

ar, spectrum.

Aliases
  • spec.ar
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")
Documentation reproduced from package stats, version 3.3, License: Part of R 3.3

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