[R] Fourier Transform

[Foadi, J (James)]

-----Original Message-----
From: r-help-bounces at r-project.org on behalf of Neil Gupta
Sent: Thu 6/5/2008 15:21
To: R-help at r-project.org
Subject: [R] Fourier Transform
 
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




Dear Neil,
I'm not sure this can be of any help, but here it is anyway.

Given a real function, sample it:

------------------------------
## Sampled density (N points)
sample_rho <- function(rho,N)
{
 xS <- seq(0,1,length=N+1)[1:N]
 yS <- rho(xS)
 xSyS <- list(xS,yS)
 return(xSyS)
}
------------------------------

Then use these sampled values to perform Fourier transform:

------------------------------
xS <- sample_rho(rho,N)[[1]]
yS <- sample_rho(rho,N)[[2]]
F_complex <- fft(yS)/length(yS)
F <- Mod(F_complex)
f <- Arg(F_complex)
F[1] <- Re(F_complex[1])
f[1] <- 0
------------------------------

I have used these and other similar lines when writing an educational paper on Fourier transforms and aliasing:

J. Foadi - "A simple approach to Fourier aliasing" - Eur J Phys 28 (2007) 551-561


My best regards,

James


Dr James Foadi PhD
Membrane Protein Laboratory (MPL)
Diamond Light Source Ltd
Diamond House
Harewell Science and Innovation Campus
Chilton, Didcot
Oxfordshire OX11 0DE

Email    :  james.foadi at diamond.ac.uk
Alt Email:  j.foadi at imperial.ac.uk
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