gdf {descomponer}

R Documentation

Get Frequency Data

Description

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).

Usage

gdf(y)

Arguments

y	a vector of the observed time-series values

Value

a vector of the estimated coefficients fourier

Author(s)

Francisco Parra

References

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/)

See Also

gdt

Examples

n<-100;x<-seq(0,24*pi,length=n);y<-sin(x)+rnorm(n,sd=.3)
gdf(y)

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