spec.ar                package:stats                R Documentation

Estimate Spectral Density of a Time Series from AR Fit

Description:

     Fits an AR model to 'x' (or uses the existing fit) and computes
     (and by default plots) the spectral density of the fitted model.

Usage:

     spec.ar(x, n.freq, order = NULL, plot = TRUE, na.action = na.fail,
             method = "yule-walker", ...)

Arguments:

       x: A univariate (not yet:or multivariate) time series or the
          result of a fit by 'ar'.

  n.freq: The number of points at which to plot.

   order: The order of the AR model to be fitted.  If omitted, the
          order is chosen by AIC.

    plot: Plot the periodogram?

na.action: 'NA' action function.

  method: 'method' for 'ar' fit.

     ...: Graphical arguments passed to 'plot.spec'.

Value:

     An object of class '"spec"'. The result is returned invisibly if
     'plot' is true.

Warning:

     Some authors, for example Thomson (1990), warn strongly that AR
     spectra can be misleading.

Note:

     The multivariate case is not yet implemented.

References:

     Thompson, D.J. (1990) Time series analysis of Holocene climate
     data. _Phil. Trans. Roy. Soc. A_ *330*, 601-616.

     Venables, W.N. and Ripley, B.D. (2002) _Modern Applied Statistics
     with S._ Fourth edition. Springer. (Especially page 402.)

See Also:

     'ar', 'spectrum'.

Examples:

     data(lh)
     spec.ar(lh)

     data(UKLungDeaths)
     spec.ar(ldeaths)
     spec.ar(ldeaths, method="burg")

