gdf {descomponer} | R Documentation |
Transforms the data from the amplitude-time domain the amplitude-frequency domain pre-multiplied by the orthogonal matrix ,W, whose elements are defined in Harvey A.C. (1978).
gdf(y)
y |
a vector of the observed time-series values |
a vector of the estimated coefficients fourier
Francisco Parra
Harvey, A.C. (1978), Linear Regression in the Frequency Domain, International Economic Review, 19, 507-512.
Parra, F. (2014), Amplitude time-frequency regression, (http://econometria.wordpress.com/2013/08/21/estimation-of-time-varying-regression-coefficients/)
n<-100;x<-seq(0,24*pi,length=n);y<-sin(x)+rnorm(n,sd=.3)
gdf(y)