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