Subject: Re: time series in R
From: Ross Ihaka (firstname.lastname@example.org)
Date: Tue 20 Jul 1999 - 10:31:13 EST
On Mon, 19 Jul 1999, Prof Brian D Ripley wrote:
> > 3. On the definition question: The existing FFT implementation
> > uses a particular definition for the discrete transform which
> > is pretty standard. (Edwards "Fourier Series", Brillinger
> > "Time Series" etc.) Using another definition may complicate
> > documentation.
> That's the simple part. But what is the divisor in the periodogram? Which
> way do lags go in acfs of bivariate series, and which sign is the phase for
> bivariate spectra?
Once you settle the forward discrete transform much of this is settled.
No constant in the dft implies
Periodogram = |dft|^2/(2*pi*T)
Phases in spectra also fall out if you take a +ve exponent in the dft.
I don't much mind about these choices, but its probably a good idea to
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