Re: [R] Filtering the time series

From: Spencer Graves <>
Date: Thu 02 Feb 2006 - 15:16:57 EST

          The Nyquist frequency is shockingly easy: Google just produced for me about 766,000 hits. The first two I checked said the Nyquist frequency is half the sampling rate (e.g., Therefore, with daily numbers, the Nyquist frequency is 0.5 days, which means you can detect patterns that occur on alternate days.

          If it were my problem, I would spend my time trying to correlate any cycles with known physical phenomena, like the annual weather patterns and the phases of the moon. I hope some spectral wizard will enlighten me, but the primary value I've gotten from things like spectral analysis is to push me and others to think of other phenomena that occur at the special identified frequencies.

          This logic pushes me to ask why you think there might be oscillations with periods of 10-20 days?

          Beyond this, I suggest you consider the functions arima and KalmanLike in the Stats package, the time series chapter in Venables and Ripley (2002) Modern Applied Statistics with S, 4th ed. (Springer). If you do not have reasonable access to this latter book, I encourage you to tell your management that it comes most highly recommended, and that the purchase of a copy will be an exceptionally good investment, in my judgment.

	  Hope this helps.
	  spencer graves

anil kumar rohilla wrote:

> Hi List,
> I have a time series of 122 values, actualy it is
a time series of daily indian monsoon rainfall. now i want to filter this time series for a particular oscilation say 10 to 20days oscilation. i want to find out what amount of variance is explained by this mode. Which package is available in R for this purpose. and how to calculate nquest frequancy of this series. any help is much appriciated.
> thanks in advance
> anil
> PUNE-411005 INDIA
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