[R-SIG-Finance] Phase spectrum

Gunnar Hoyer gunnar.hoyer at uni-oldenburg.de
Thu Mar 19 23:12:15 CET 2009


I have trouble to interpret the phase spectrum correctly.

Here is the code (with different data) I used to get the phase spectrum:

mfdeaths.spc <- spec.pgram(ts.union(mdeaths, fdeaths), spans = c(3,3))
plot(mfdeaths.spc, plot.type = "phase")

I would like to know whether positive or negative values indicate that 
the time series mdeaths leads or lags.

Thanks in advance
Gunnar Hoyer

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