[R-SIG-Finance] Phase spectrum
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
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