spec.pgram {stats} | R Documentation

## Estimate Spectral Density of a Time Series by a Smoothed Periodogram

### Description

`spec.pgram` calculates the periodogram using a fast Fourier transform, and optionally smooths the result with a series of modified Daniell smoothers (moving averages giving half weight to the end values).

### Usage

    spec.pgram(x, spans = NULL, kernel, taper = 0.1,
               pad = 0, fast = TRUE, demean = FALSE, detrend = TRUE,
               plot = TRUE, na.action = na.fail, ...)

### Arguments

`x` | univariate or multivariate time series.
`spans` | vector of odd integers giving the widths of modified Daniell smoothers to be used to smooth the periodogram.
`kernel` | alternatively, a kernel smoother of class `"tskernel"`.
`taper` | specifies the proportion of data to taper. A split cosine bell taper is applied to this proportion of the data at the beginning and end of the series.
`pad` | proportion of data to pad. Zeros are added to the end of the series to increase its length by the proportion `pad`.
`fast` | logical; if `TRUE`, pad the series to a highly composite length.
`demean` | logical. If `TRUE`, subtract the mean of the series.
`detrend` | logical. If `TRUE`, remove a linear trend from the series. This will also remove the mean.
`plot` | plot the periodogram?
`na.action` | `NA` action function.
`...` | graphical arguments passed to `plot.spec`.

### Details

The raw periodogram is not a consistent estimator of the spectral density, but adjacent values are asymptotically independent. Hence a consistent estimator can be derived by smoothing the raw periodogram, assuming that the spectral density is smooth.

The series will be automatically padded with zeros until the series length is a highly composite number in order to help the Fast Fourier Transform. This is controlled by the `fast` and not the `pad` argument.

The periodogram at zero is in theory zero as the mean of the series is removed (but this may be affected by tapering): it is replaced by an interpolation of adjacent values during smoothing, and no value is returned for that frequency.

### Value

A list object of class `"spec"` (see `spectrum`) with the following additional components:

`kernel` | The `kernel` argument, or the kernel constructed from `spans`.
`df` | The distribution of the spectral density estimate can be approximated by a (scaled) chi square distribution with `df` degrees of freedom.
`bandwidth` | The equivalent bandwidth of the kernel smoother as defined by Bloomfield (1976, page 201).
`taper` | The value of the `taper` argument.
`pad` | The value of the `pad` argument.
`detrend` | The value of the `detrend` argument.
`demean` | The value of the `demean` argument.

The result is returned invisibly if `plot` is true.

### Author(s)

Originally Martyn Plummer; kernel smoothing by Adrian Trapletti, synthesis by B.D. Ripley

### References

Bloomfield, P. (1976) Fourier Analysis of Time Series: An Introduction. Wiley.

Brockwell, P.J. and Davis, R.A. (1991) Time Series: Theory and Methods. Second edition. Springer.

Venables, W.N. and Ripley, B.D. (2002) Modern Applied Statistics with S. Fourth edition. Springer. (Especially pp. 392–7.)

### See Also

`spectrum`, `spec.taper`, `plot.spec`, `fft`

### Examples

    ## Examples from Venables & Ripley
    spectrum(ldeaths)
    spectrum(ldeaths, spans = c(3,5))
    spectrum(ldeaths, spans = c(5,7))
    spectrum(mdeaths, spans = c(3,3))
    spectrum(fdeaths, spans = c(3,3))

    ## bivariate example
    mfdeaths.spc <- spec.pgram(ts.union(mdeaths, fdeaths), spans = c(3,3))
    # plots marginal spectra: now plot coherency and phase
    plot(mfdeaths.spc, plot.type = "coherency")
    plot(mfdeaths.spc, plot.type = "phase")

    ## now impose a lack of alignment
    mfdeaths.spc <- spec.pgram(ts.intersect(mdeaths, lag(fdeaths, 4)),
       spans = c(3,3), plot = FALSE)
    plot(mfdeaths.spc, plot.type = "coherency")
    plot(mfdeaths.spc, plot.type = "phase")

    stocks.spc <- spectrum(EuStockMarkets, kernel("daniell", c(30,50)),
                           plot = FALSE)
    plot(stocks.spc, plot.type = "marginal") # the default type
    plot(stocks.spc, plot.type = "coherency")
    plot(stocks.spc, plot.type = "phase")

    sales.spc <- spectrum(ts.union(BJsales, BJsales.lead),
                          kernel("modified.daniell", c(5,7)))
    plot(sales.spc, plot.type = "coherency")
    plot(sales.spc, plot.type = "phase")

[Package stats version 2.5.0 Index]