Re: time series in R

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Subject: Re: time series in R
From: Martyn Plummer (plummer@iarc.fr)
Date: Thu 22 Jul 1999 - 20:26:41 EST


Message-ID: <XFMail.990722122641.plummer@iarc.fr>

On 20-Jul-99 Martin Maechler wrote:
>
> Something which should be discussed however is spectrum(0);
> Several of us think that S-plus does the wrong thing, at least in some
> cases. If demean=T (mean removed), should have periodogram(0) = 0,
> and maybe even spectrum(0) = 0 [and hence dB-spec. = -Inf ..]
> Another possibility would be to leave it NA

[I'm repeating some private discussions with Martin here]

In my version of spec.pgram(), I chose to ignore frequency zero. This
seemed like the right thing to do since the periodogram at zero does
not estimate the spectral density at zero, but is a function of the
mean. It does not make much sense to use this value when smoothing the
periodogram to estimate frequencies near zero. This remains true if you
decide to set periodogram(0)=0.

> and maybe provide methods for estimating it specifically, if desired.

I'm going to do this in the next version of the coda package.

Martyn
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