timsac (version 1.2.7)

tvspc: Time Evolution of Power Spectra of Time Varying AR model

Description

Estimate the time evolution of the power spectra of time varying AR model.

Usage

tvspc(ar.order, sigma2, arcoef, var=NULL, span, nf=200)

Arguments

ar.order

AR order.

sigma2

variance of the observational noise.

arcoef

time varying AR coefficients.

var

time varying variance.

span

local stationary span.

nf

number of frequencies in evaluating spectrum.

Value

• spec
  time varying spectrum.

References

Kitagawa, G. (1993) Time series analysis programing (in Japanese). The Iwanami Computer Science Series. Kitagawa, G. and Gersch, W. (1996) Smoothness Priors Analysis of Time Series. Lecture Notes in Statistics, No.116, Springer-Verlag. Kitagawa, G. and Gersch, W. (1985) A smoothness priors time varying AR coefficient modeling of nonstationary time series. IEEE trans. on Automatic Control, AC-30, 48-56.

Examples

data(MYE1F) # an earthquake wave data
  z <- tvar(MYE1F, 4, 2, 20, c(630,1026), 6.6e-06, 1.0e-06)
  spec <- tvspc(4, z$sigma2, z$arcoef,, 20)
  persp(spec$x, spec$y, spec$z, expand=0.5, theta=20, col = "lightblue", ticktype="detailed",
        xlab="f", ylab="n", zlab="log p(f)")