[R] Difference between spec.pgram & spec.ar

[Bazman76]

oops sorry

n 08.04.2012 20:39, Bazman76 wrote: 
> Hi there, 
> 
> Can someone explain what the difference between spec.pgram and spec.ar is? 
> 
> I understand that they attempt to do the same thing one using an AR 
> estimation of the underlying series to estimate teh sensity the other
> using 
> the FFT. However when applied to teh same data set they seem to be giving 
> quite different results? 
> 
> http://r.789695.n4.nabble.com/file/n4541358/R_example.jpg
> 
> 
> Clearly the spec.ar() result seems to be smoothed but the results are also 
> generally very different only really sharing the peak as the frequencies
> go 
> towards zero. 
> 
> Can someone please explain why these two functions produce such different 
> results on the same data set? 
« [hide part of quote]

*Because they really measure different things? Why do you expect to get 
the same output in time as well as in frequency domain? *

Uwe Ligges 


> 
> code shown below: 
> 
>   library("waveslim") 
> 
> vols=read.csv(file="C:/Users/ocuk/My Documents/Abs Vol.csv", header=TRUE, 
> sep=",") 
> x<-ts(vols[,1]) 
> #x 
> 
> ## LA(8) 
> vol.la8<- mra(x, "la8", 4, "modwt") 
> names(vol.la8)<- c("d1", "d2", "d3", "d4", "s4") 
> ## plot multiresolution analysis of IBM data 
> #par(mfcol=c(6,1), pty="m", mar=c(5-2,4,4-2,2)) 
> par(mfcol=c(3,1), pty="m", mar=c(5-2,4,4-2,2)) 
> plot.ts(x, axes=F, ylab="", main="(abs rtns)") 
> #for(i in 1:5) 
> # plot.ts(vol.la8[[i]], axes=F, ylab=names(vol.la8)[i]) 
> #axis(side=1, at=seq(0,1600,by=100), 
> # labels=c(0,"",200,"",400,"",600,"",800,"",1000,"",1200,"",1400,"",1600)) 
> 
> spectrum(vol.la8[[1]]) 
> specx<- spec.ar(x) 
> 
> -- 
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> PLEASE do read the posting guide
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> and provide commented, minimal, self-contained, reproducible code. 
« [hide part of quote]

 


*OK so I neeed to understan better what it it they are trying to measure. 

I understood (incorrectly it seems) that they were simply different methods
to get the same result?  *

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