plotts.sample.wge: Plot Data, Sample Autocorrelations, Periodogram, and Parzen Spectral Estimate

Description

For a given realization, this function plots the data, and calculates and plots the sample autocorrelations, periodogram, and Parzen window spectral estimator in a 2x2 array of plots.

Usage

plotts.sample.wge(x, lag.max = 25, trunc = 0, arlimits=FALSE,speclimits=c(0,0),
periodogram=FALSE)

Value

xbar: The sample mean of the realization
autplt: A vector containing sample autocorrelations from 0, 1, ..., aut.lag
freq: A vector containing the frequencies at which the periodogram and window estimate are calculated
db: Periodogram (in dB) calculated at the frequecies in freq
freq: Parzen spectral estimate (in dB) calculated at the frequecies in freq

Arguments

x: A vector containing the realization
lag.max: The maximum lag at which to calculate the sample autocorrelations
trunc: The truncation point M for the Parzen spectral estimator. If M=0 theN M=2sqrt(n). If M>0 then M is the value entered
arlimits: Logical variable. TRUE plots 95 percent limit lines on sample autocorrelation plots
periodogram: Logical variable. TRUE plots periodogram, default=FALSE
speclimits: User supplied limits for Parzen spectral density and periodogram, default=function decides limits

Author

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

Run this code

data(wages)
plotts.sample.wge(wages,trunc=0)

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