pburg function

Autoregressive PSD estimate - Burg's method

Calculate Burg maximum-entropy power spectral density.

pburg(
  x,
  p,
  criterion = NULL,
  freq = 256,
  fs = 1,
  range = NULL,
  method = if (length(freq) == 1 && bitwAnd(freq, freq - 1) == 0) "fft" else "poly"
)

Arguments

• x: input data, specified as a numeric or complex vector or matrix. In case of a vector it represents a single signal; in case of a matrix each column is a signal.

• p: model order; number of poles in the AR model or limit to the number of poles if a valid criterion is provided. Must be < length(x) - 2.

• criterion: model-selection criterion. Limits the number of poles so that spurious poles are not added when the whitened data has no more information in it. Recognized values are:

  • "AKICc": approximate corrected Kullback information criterion (recommended)
  • "KIC": Kullback information criterion
  • "AICc": corrected Akaike information criterion
  • "AIC": Akaike information criterion
  • "FPE": final prediction error

  The default is to NOT use a model-selection criterion (NULL)

• freq: vector of frequencies at which power spectral density is calculated, or a scalar indicating the number of uniformly distributed frequency values at which spectral density is calculated. Default: 256.

• fs: sampling frequency (Hz). Default: 1

• range: character string. one of:

  • "half" or "onesided": frequency range of the spectrum is from zero up to but not including fs / 2. Power from negative frequencies is added to the positive side of the spectrum.
  • "whole" or "twosided": frequency range of the spectrum is -fs / 2 to fs / 2, with negative frequencies stored in "wrap around order" after the positive frequencies; e.g. frequencies for a 10-point "twosided" spectrum are 0 0.1 0.2 0.3 0.4 0.5 -0.4 -0.3 -0.2. -0.1.
  • "shift" or "centerdc": same as "whole" but with the first half of the spectrum swapped with second half to put the zero-frequency value in the middle. If freq is a vector, "shift" is ignored.

  Default: If model coefficients a are real, the default range is "half", otherwise the default range is "whole".

• method: method used to calculate the power spectral density, either "fft" (use the Fast Fourier Transform) or "poly" (calculate the power spectrum as a polynomial). This argument is ignored if the freq argument is a vector. The default is "poly" unless the freq argument is an integer power of 2.

Returns

An object of class "ar_psd" , which is a list containing two elements, freq and psd containing the frequency values and the estimates of power-spectral density, respectively.

Note

This function is a wrapper for arburg and ar_psd.

Examples

A <- Arma(1, c(1, -2.7607, 3.8106, -2.6535, 0.9238))
y <- filter(A, 0.2 * rnorm(1024))
plot(pb <- pburg(y, 4))

See Also

ar_psd, arburg

Author(s)

Peter V. Lanspeary, pvl@mecheng.adelaide.edu.au .

Conversion to R by Geert van Boxtel, gjmvanboxtel@gmail.com