psd (version 2.1.2)

psdcore: Multitaper power spectral density estimates of a series

Description

Compute power spectral density (PSD) estimates for the input series using sine multitapers. This is used by pspectrum for the adaptive estimation procedure.

Usage

psdcore(X.d, ...)
# S3 method for ts
psdcore(X.d, ...)
# S3 method for matrix
psdcore(X.d, X.frq, ...)
# S3 method for default
psdcore(
  X.d,
  X.frq = NULL,
  ntaper = as.tapers(5),
  preproc = TRUE,
  na.action = stats::na.fail,
  plot = FALSE,
  refresh = FALSE,
  verbose = FALSE,
  fast = FALSE,
  ndecimate,
  ...
)

Value

An on object of class 'amt','spec', which has a structure similar to a regular 'spec' object, but with a few additional fields, invisibly.

Arguments

X.d

the series to estimate a spectrum for

...

additional parameters

X.frq

scalar; the sampling information (see section Sampling)

ntaper

scalar, vector, or tapers; the number of sine tapers to apply at each frequency

preproc

logical; should X.d have a linear trend removed?

na.action

function to deal with NA values

plot

logical; should the estimates be shown compared to the spectrum-based estimates? Note that this will add some computation time, since the cosine-tapered periodogram is calculated inside pgram_compare.

refresh

logical; ensure a free environment prior to execution

verbose

logical; should warnings and messages be given?

fast

logical; use the faster method?

ndecimate

now ignored

Author

A.J. Barbour; original algorithm by R.L. Parker.

Details

Tapering

The parameter ntaper specifies the number of sine tapers to be used at each frequency: equal tapers at each frequency for a scalar; otherwise, use ntaper[j] sine tapers at frequency[j].

Truncation

The series, with length \(N\), is necessarily truncated so that \(1+N/2\) evenly spaced frequencies are returned. This truncation makes the series length ``highly composite", which the discrete Fourier transform (DFT) is most efficient. The "fftw" vignette (accessed with vignette("fftw",package="psd")) shows how the performance of a DFT can be affected by series length.

Decimation

No longer supported. Setting ndecimate will not affect the results

Sampling

If X.frq is NULL, the value is assumed to be 1, unless X.d is a 'ts' object. If X.frq > 0 it's assumed the value represents frequency (e.g. Hz). If X.frq < 0 it's assumed the value represents interval (e.g. seconds).

See Also

pspectrum, riedsid, parabolic_weights, pgram_compare

Examples

if (FALSE) #REX
library(psd)

##
## Multitaper PSD estimation
##

set.seed(1234)
X <- rnorm(1e3)

# use the defaults, and appeal to plot.spec
# sampling assumed to be 1
plot(psdcore(X))

# use more tapers, compare to stats::spectrum, and clear 
# env data from the previous calculation
psdcore(X, ntaper=10, plot=TRUE, refresh=TRUE)

# change the sampling frequency to 20
psdcore(X, X.frq=20, ntaper=10, plot=TRUE, refresh=TRUE)

#REX