bispec {timsac}

Bispectrum

Description

Compute bi-spectrum using the direct Fourier transform of sample third order moments.

Usage

bispec(y, lag = NULL, window = "Akaike", log = FALSE, plot = TRUE)

Arguments

y

a univariate time series.

lag

maximum lag. Default is 2 \sqrt{n}, where n is the length of the time series y.

window

character string giving the definition of smoothing window. Allowed strings are "Akaike" (default) or "Hanning".

log

logical. If TRUE, the spectrum pspec is plotted as log(pspec).

plot

logical. If TRUE (default), the spectrum pspec is plotted.

Details

Hanning Window :	a1(0)=0.5,	a1(1)=a1(-1)=0.25,	a1(2)=a1(-2)=0
Akaike Window :	a2(0)=0.625,	a2(1)=a2(-1)=0.25,	a2(2)=a2(-2)=-0.0625

Value

pspec

power spectrum smoothed by 'window'.

sig

significance.

cohe

coherence.

breal

real part of bispectrum.

bimag

imaginary part of bispectrum.

exval

approximate expected value of coherence under Gaussian assumption.

References

H.Akaike, E.Arahata and T.Ozaki (1975) Computer Science Monograph, No.6, Timsac74, A Time Series Analysis and Control Program Package (2). The Institute of Statistical Mathematics.

Examples

data(bispecData)
bispec(bispecData, lag = 30)