spectrum                 package:ts                 R Documentation

_S_p_e_c_t_r_a_l _D_e_n_s_i_t_y _E_s_t_i_m_a_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

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

     The generic function `plot' has a method for `spec' objects: for
     multivariate time series it plots the marginal spectra of the
     series or pairs plots of the coherency and phase of the
     cross-spectra.

_U_s_a_g_e:

     spectrum(x, method = c("pgram","ar"), plot = TRUE, ...)
     plot.spec(spec.obj, add=FALSE, ci=0.95,
               log = c("yes", "dB", "no"), ci.col = "blue", ci.lty = 3, 
               plot.type = c("marginal", "coherency", "phase"), ...)

_A_r_g_u_m_e_n_t_s:

       x: A univariate or multivariate 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 or `plot.spec'.

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 omitted unless `ci' is strictly positive.

     log: If `"dB"', plot on log10 (decibel) scale (as S-PLUS),
          otherwise use conventional log scale or linear scale. Logical
          values are also accepted.  The default is `"yes"' unless
          `options(ts.S.compat = TRUE)' has been set, when it is
          `"dB"'.

ci.col, ci.lty: Colour for plotting confidence bar, colour and line
          type for confidence intervals for coherency and phase.

plot.type: For multivariate time series, the type of plot required.
          Only the first character is needed.

     ...: Further graphical parameters.

_D_e_t_a_i_l_s:

     The spectrum here is defined with scaling `1/frequency(x)',
     following S-PLUS. This makes the spectral density a density over
     the range `(-frequency(x)/2, +frequency(x)/2]', whereas a more
     common scaling is 2pi and range  (-0.5, 0.5] (e.g. Bloomfield) or
     1 and range (-pi, pi].

     If available, a confidence interval will be plotted by
     `plot.spec': this is asymmetric, and the width of the centre mark
     indicates the equivalent bandwidth.

_V_a_l_u_e:

     An object of class `spec', which is a list containing at least the
     following elements: 

    freq: vector of frequencies at which the spectral density is
          estimated. (Possibly approximate Fourier frequencies.)

    spec: Vector (for univariate 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.

  snames: For multivariate input, the names of the component series.

  method: The method used to calculate the spectrum.


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

_N_o_t_e:

     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.

_A_u_t_h_o_r(_s):

     Martyn Plummer, B.D. Ripley

_R_e_f_e_r_e_n_c_e_s:

     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. (1997) Modern Applied Statistics
     with S-PLUS. Second edition. Springer. (Especially pp. 437-442.)

_S_e_e _A_l_s_o:

     `spec.pgram'

_E_x_a_m_p_l_e_s:

     ## Examples from Venables & Ripley
     ## spec.pgram
     par(mfrow=c(2,2))
     data(lh)
     spectrum(lh)
     spectrum(lh, spans=3)
     spectrum(lh, spans=c(3,3))
     spectrum(lh, spans=c(3,5))

     data(UKLungDeaths)
     spectrum(ldeaths)
     spectrum(ldeaths, spans=c(3,3))
     spectrum(ldeaths, spans=c(3,5))
     spectrum(ldeaths, spans=c(5,7))
     spectrum(ldeaths, spans=c(5,7), log="dB", ci=0.8)

     # for multivariate examples see the help for spec.pgram

     ## spec.ar
     spectrum(lh, method="ar")
     spectrum(ldeaths, method="ar")

