spec.ar {stats} R Documentation

## Estimate Spectral Density of a Time Series from AR Fit

### Description

Fits an AR model to `x` (or uses the existing fit) and computes (and by default plots) the spectral density of the fitted model.

### Usage

```spec.ar(x, n.freq, order = NULL, plot = TRUE, na.action = na.fail,
method = "yule-walker", ...)
```

### Arguments

 `x` A univariate (not yet:or multivariate) time series or the result of a fit by `ar`. `n.freq` The number of points at which to plot. `order` The order of the AR model to be fitted. If omitted, the order is chosen by AIC. `plot` Plot the periodogram? `na.action` `NA` action function. `method` `method` for `ar` fit. `...` Graphical arguments passed to `plot.spec`.

### Value

An object of class `"spec"`. The result is returned invisibly if `plot` is true.

### Warning

Some authors, for example Thomson (1990), warn strongly that AR spectra can be misleading.

### Note

The multivariate case is not yet implemented.

### References

Thompson, D.J. (1990). Time series analysis of Holocene climate data. Philosophical Transactions of the Royal Society of London Series A, 330, 601–616. http://www.jstor.org/stable/53609.

Venables, W.N. and Ripley, B.D. (2002) Modern Applied Statistics with S. Fourth edition. Springer. (Especially page 402.)

`ar`, `spectrum`.

### Examples

```require(graphics)

spec.ar(lh)

spec.ar(ldeaths)
spec.ar(ldeaths, method = "burg")

spec.ar(log(lynx))
spec.ar(log(lynx), method = "burg", add = TRUE, col = "purple")
spec.ar(log(lynx), method = "mle", add = TRUE, col = "forest green")
spec.ar(log(lynx), method = "ols", add = TRUE, col = "blue")
```

[Package stats version 3.5.0 Index]