[R] Nonlinear autoregression and spectral analysis (mixed spectra)

From: Nuno Prista <nmprista_at_fc.ul.pt>
Date: Fri, 22 Feb 2008 14:33:22 -0500


I am studying frequency the seasonal cycle of a time-series that I believe includes also an AR (1) component. I would be interested in estimating frequency, amplitude and phase of the main seasonal cycle of the parameter of the AR component. I have preliminary estimates of the seasonal parameters
(based on nls fitting of amplitude*cos(frequency*t-phase) assuming iid
errors) and of the AR parameter (based on ar.yw of the data). I would however like to fit both components simultaneously since they confound each other if estimated separately (resembling a mixed spectrum problem).  

Is there a function in R that allows an autoregressive component to be included in a nonlinear (on frequency) regression? Alternatively
(additionally), is there any package handling mixed spectrum estimation?

Thanks in advance for any suggestions,  


Instituto de Oceanografia - FCUL, Portugal

Center for Quantitative Fisheries Ecology - ODU, USA

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