Re: time series in R

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Subject: Re: time series in R
From: Ross Ihaka (ihaka@stat.auckland.ac.nz)
Date: Tue 20 Jul 1999 - 10:31:13 EST


Message-ID: <Pine.GSO.4.10.9907201215490.18298-100000@stat1.stat.auckland.ac.nz>

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
be consistent.
        
        Ross

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