# time series in R

**Ross Ihaka
**
ihaka@stat.auckland.ac.nz

*Tue, 20 Jul 1999 12:31:13 +1200 (NZST)*

On Mon, 19 Jul 1999, Prof Brian D Ripley wrote:
>* > 3. On the definition question: The existing FFT implementation
*>* > uses a particular definition for the discrete transform which
*>* > is pretty standard. (Edwards "Fourier Series", Brillinger
*>* > "Time Series" etc.) Using another definition may complicate
*>* > documentation.
*>*
*>* That's the simple part. But what is the divisor in the periodogram? Which
*>* way do lags go in acfs of bivariate series, and which sign is the phase for
*>* bivariate spectra?
*
Once you settle the forward discrete transform much of this is settled.
No constant in the dft implies
Periodogram = |dft|^2/(2*pi*T)
Phases in spectra also fall out if you take a +ve exponent in the dft.
I don't much mind about these choices, but its probably a good idea to
be consistent.
Ross
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