| spec.ar {stats} | R Documentation |
Estimate Spectral Density of a Time Series from AR Fit
Description
Fits an AR model to x (or uses the existing fit) and computes
(and by default plots) the spectral density of the fitted model.
Usage
spec.ar(x, n.freq, order = NULL, plot = TRUE, na.action = na.fail,
method = "yule-walker", ...)
Arguments
x |
A univariate (not yet:or multivariate) time series or the
result of a fit by |
n.freq |
The number of points at which to plot. |
order |
The order of the AR model to be fitted. If omitted, the order is chosen by AIC. |
plot |
Plot the periodogram? |
na.action |
|
method |
|
... |
Graphical arguments passed to |
Value
An object of class "spec".
The result is returned invisibly if plot is true.
Warning
Some authors, for example Thomson (1990), warn strongly that AR spectra can be misleading.
Note
The multivariate case is not yet implemented.
References
Thompson, D.J. (1990). Time series analysis of Holocene climate data. Philosophical Transactions of the Royal Society of London Series A, 330, 601–616. doi:10.1098/rsta.1990.0041.
Venables, W.N. and Ripley, B.D. (2002) Modern Applied Statistics with S. Fourth edition. Springer. (Especially page 402.)
See Also
Examples
require(graphics)
spec.ar(lh)
spec.ar(ldeaths)
spec.ar(ldeaths, method = "burg")
spec.ar(log(lynx))
spec.ar(log(lynx), method = "burg", add = TRUE, col = "purple")
spec.ar(log(lynx), method = "mle", add = TRUE, col = "forest green")
spec.ar(log(lynx), method = "ols", add = TRUE, col = "blue")