| Library: | times |
| See also: | fft invfft pgram |
| Quantlet: | spec | |
| Description: | estimates and plots the spectral density of a time series |
| Usage: | specd = spec(x {,width {,n}} ) | |
| Input: | ||
| x | vector | |
| width | scalar, 0 <= width <= (rows(x)/2) | |
| n | integer; If n=1 (Default) the spectral density estimate is returned, otherwise the log spectral density estimate | |
| Output: | ||
| specd | vector | |
library("times")
randomize(0)
x=genarma(0.9,0,normal(100))
y=spec(x)
y[1:5]
plots the estimated spectral density of a time series and the periodogram Contents of _tmp [1,] 21.845 [2,] 21.249 [3,] 20.079 [4,] 18.803 [5,] 17.186
library("times")
randomize(0)
dax=read("dax")
y=spec(dax)
plots the estimated spectral density of the DAX time series and the periodogram