
Returns the spectral density function (SDF) for a
fractionally differenced (FD) process. Given a unit sampling rate, the
SDF for an FD proces is
wavFDPSDF(f, delta=0.45, variance=1, response=NULL)
a numeric value representing normalized frequency where the sampling interval is unity.
the FD parameter. Default: 0.45
.
a list
containing the objects
frequency
and
sqrgain
which represent, respectively, a numeric
normalized frequency vector corresponding to a wavelet squared gain
response at a particular wavelet decomposition level. This argument
typically will not be set by the user. Rather, it is used internally
by FD process maximum likelihood estimators. Default: NULL
.
the FD innovations variance. Default: 1
.
the SDF values corresponding to the FD model parameters.
D. B. Percival and A. T. Walden, Wavelet Methods for Time Series Analysis, Cambridge University Press, 2000, 340--92.
# NOT RUN {
## create a normalized frequency vector
f <- seq(from=1e-2, to=1/2, length=100)
## calculate the FDP SDF for delta=0.45 and unit
## innovations variance
S <- wavFDPSDF(f, delta=0.45, variance=1)
## plot the results
plot(f, S,log="xy", xlab="Frequency", ylab="SDF of FDP(0.45, 1)")
# }
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