specest function

specest direct spectral estimation of series y using periodogram window win

specest(
  y,
  nf,
  e,
  win = c("perwinba", "perwinpa", "perwinda"),
  conf = 0,
  type = "cov"
)

Arguments

• y: (n,1) vector, the ts
• nf: number of equally spaced frequencies
• e: equal bandwidth, must be 0 <= e <0.5
• win: string, name of periodogram window (possible: "perwinba", "perwinpa", "perwinda")
• conf: scalar, the level for confidence intervals
• type: c("cov","cor"), area under spectrum is variance or is normed to 1.

Returns

est (nf+1,2)- or (nf+1,4)-matrix: - column 1:: frequencies 0, 1/n, 2/n, ..., m/n

• column 2:: the estimated spectrum

• column 3+4:: the confidence bounds

Examples

data(WHORMONE)
est <- specest(WHORMONE,50,0.05,win = c("perwinba","perwinpa","perwinda"),conf=0,type="cov")