XploRe Help : pgram

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	times
See also:	fft invfft spec

Quantlet:		pgram
Description:		computes and plots the raw (log) periodogram of a time series

Usage:	`y = pgram(x {,n})`
Input:
	`x`	vector
	`n`	integer; If n=1 (Default) the periodogram is returned, otherwise the log periodogram
Output:
	`y`	vector

Note:

The periodogram values can be interpreted in terms of variance (sums of squares) of the data at the respective frequency or period. Customarily, the periodogram values are plotted against the frequencies or periods.

Example:

library("times") randomize(0) x=genarma(0.9,0,normal(100)) y=pgram(x) y[1:5]

Result:

generates a graphical object which represents the
periodogram of a time series

Contents of _tmp
[1,]   50.882
[2,]   42.724
[3,]   40.861
[4,]   13.082
[5,]   7.3546

Example:

library("times") randomize(0) dax=read("dax") z=pgram(dax)

Result:

generates a graphical object which represents the
periodogram of DAX time series

Author: R. Chen, C. Hafner, W. Haerdle, 19970725 license MD*Tech