spec.ar                  package:ts                  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.

Author(s):

     B.D. Ripley

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. (1997) Modern Applied Statistics
     with S-PLUS. Second edition. Springer. (Especially page 448.)

See Also:

     `ar', `spectrum'.

Examples:

     data(lh)
     spec.ar(lh)

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

