Re: [R] Fourier Transform

From: stephen sefick <ssefick_at_gmail.com>
Date: Thu, 05 Jun 2008 11:00:56 -0400

If you want power spectral density then spec.pgram() and a wrapper to this spectrum should do the trick (MASS which is a part of R base I think) add the argument log="no" if you don't want to see the power on a log scale also remember that the smoothed periodogram is a consitent estimator of the spectral density and this is achieved with spans=
the spans argument needs odd integer arguments and it is better to use two (this uses modified daniell smoothers) (MASS4)

fft is the fast fourier transform, but I haven't been able to figure out how to use this for filtering along with ifft

if your data has changing properties over time it may be useful to look into wavelet analysis (wmtsa and the accompanying book, sowas and the accompanying dissertation)

Shumway et al. time series methods with applications in R (or something close to this) is a good book also

hope this helps

Stephen

On Thu, Jun 5, 2008 at 10:21 AM, Neil Gupta <neil.gup_at_gmail.com> wrote:

> Hello All,
>
> I wanted to perform a fourier transform on high frequency financial data. I
> have searched and have not found much on this topic for R. I was wondering
> if anyone has used any libraries for it or have come across any papers I
> may
> read.
>
> Many Thanks,
>
> Neil Gupta
>
> [[alternative HTML version deleted]]
>
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