spectrum(bats)R Documentation

Spectral Density Estimation

Description

The spectrum function estimates the spectral density of a time series. This is just a wrapper function which calls the methods spec.pgram and spec.ar.

The generic function plot has a method for spec objects.

Usage

spectrum(x, method=c("pgram","ar"), plot = TRUE, ...)
plot.spec(spec.obj, add=FALSE, ci=0.95, ...)

Arguments

x A time series.
method String specifying the method used to estimate the spectral density. Allowed methods are "pgram" (the default) and "ar".
plot logical. If TRUE then the spectral density is plotted.
... Further arguments to specific spec methods.
spec.obj An object of class spec.
add logical. If TRUE then lines are added to the existing plot.
ci Coverage probability for confidence interval. Plotting of the confidence bar is suppressed if ci = NULL.
... Further graphical parameters.

Value

An object of class spec, which is a list containing at least the following elements:
freq vector of fourier frequencies at which the spectral density is estimated.
spec Vector (for univarite series) or matrix (for multivariate series) of estimates of the spectral density at frequencies corresponding to freq.
coh NULL for univariate series. For multivariate time series, a matrix containing the squared coherency between different series. Column i + (j - 1) * (j - 2)/2 of coh contains the squared coherency between columns i and j of x, where i>j.
phase NULL for univariate series. For multivariate time series a matrix containing the cross-spectrum phase between different series. The format is the same as coh.
series The name of the time series.
method The method used to calculate the spectrum.

Note

The default plot for spec objects is quite complex, including an error bar and default title, subtitle and axis labels. The defaults can all be overridden by supplying the appropriate graphical parameters.

Author(s)

Martyn Plummer

See Also

spec.pgram


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