tvspc {TSSS} | R Documentation |
Estimate evolutionary power spectra by time varying AR model.
tvspc(arcoef, sigma2, var = NULL, span = 20, nf = 200)
arcoef |
time varying AR coefficients. |
sigma2 |
variance of the observational noise. |
var |
time varying variance. |
span |
local stationary span. |
nf |
number of frequencies in evaluating spectrum. |
return an object of class "tvspc"
.
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
Kitagawa, G. and Gersch, W. (1996) Smoothness Priors Analysis of Time Series. Lecture Notes in Statistics, No.116, Springer-Verlag.
Kitagawa, G. and Gersch, W. (1985) A smoothness priors time varying AR coefficient modeling of nonstationary time series. IEEE trans. on Automatic Control, AC-30, 48-56.
# seismic data data(MYE1F) z <- tvar(MYE1F, trend.order = 2, ar.order = 8, span = 20, outlier = c(630, 1026), tau2.ini = 6.6e-06, delta = 1.0e-06) spec <- tvspc(z$arcoef, z$sigma2) plot(spec, theta = 30, phi = 40, expand = 0.5)