[R] parzen-window, tukey window
Prof Brian Ripley
ripley at stats.ox.ac.uk
Tue Sep 25 17:08:59 CEST 2001
On Tue, 25 Sep 2001, Albrecht Kauffmann wrote:
> Dear R-user and -programmer,
> has one R-package the ability to compute smoothed periodograms of time
> series using the Tukey-window and/or the Parzen-window? In the ts- and
> tseries-packages I have found only Daniell-smoothers.
What did you mean by `Tukey-window and/or the Parzen-window'? The modern
(post 1967) methods are discrete-frequency smoothings, whereas those
usually mean the old-fashioned technique of tapering the ACF. The two
approaches are equivalent but the older one is much less efficient.
Look harder at spec.pgram: it is completely general, and not confined to
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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