Lspec: logspline estimation of a spectral distribution
Fit an lspec
model
to a time-series or a periodogram.
lspec(data, period, penalty, minmass, knots, maxknots, atoms, maxatoms, maxdim , odd = FALSE, updown = 3, silent = TRUE)
data |
time series (exactly one of |
period |
value of the periodogram for a time series at frequencies
2pi*j/T, for 1<=j<=T/2. If period is specified, odd should indicate
whether the length of the series T is odd |
penalty |
the parameter to be used in the AIC criterion. The method chooses
the number of basis
functions that minimizes |
minmass |
threshold value for atoms. No atoms having smaller mass than |
knots |
ordered vector of values, which forces the method to start with these knots.
If |
maxknots |
maximum number of knots allowed in the model. Does not need to be
specified, since the program has a default for |
atoms |
ordered vector of values, which forces the method to start with discrete components at these frequencies. The values of atoms are rounded to the nearest multiple of 2*pi/T. If atoms is not specified, the program starts with no atoms and then performs stepwise addition of knots and atoms. |
maxatoms |
maximum number of discrete components allowed in the model. Does not need to be
specified, since the program has a default for |
maxdim |
maximum number of basis functions allowed in the model (default is max(15,4*length(period)^0.2)). |
odd |
see |
updown |
the maximal number of times that |
silent |
should printing of information be suppressed? |
Object of class lspec
.
The output is organized to serve as input for plot.lspec
(summary plots),
summary.lspec
(summarizes fitting), clspec
(for
autocorrelations and autocovariances), dlspec
(for spectral density and line-spectrum,)
plspec
(for the spectral distribution), and rlspec
(for random time series with the same spectrum).
call |
the command that was executed. |
thetap |
coefficients of the polynomial part of the spline. |
nknots |
the number of knots that were retained. |
knots |
vector of the locations of the knots in the logspline model. Only the knots that were retained are in this vector. |
thetak |
coefficients of the knot part of the spline. The k-th coefficient is the coefficient of (x-t(k))^3_+. |
natoms |
the number of atoms that were retained. |
atoms |
vector of the locations of the atoms in the model. Only the atoms that were retained are in this vector. |
mass |
The k-th coefficient is the mass at |
logl |
the log-likelihood of the model. |
penalty |
the penalty that was used. |
minmass |
the minimum mass for an atom that was allowed. |
sample |
the sample size that was used, either computed as |
updown |
the actual number of times that |
Charles Kooperberg clk@fredhutch.org.
Charles Kooperberg, Charles J. Stone, and Young K. Truong (1995). Logspline Estimation of a Possibly Mixed Spectral Distribution. Journal of Time Series Analysis, 16, 359-388.
Charles J. Stone, Mark Hansen, Charles Kooperberg, and Young K. Truong. The use of polynomial splines and their tensor products in extended linear modeling (with discussion) (1997). Annals of Statistics, 25, 1371–1470.
data(co2) co2.detrend <- unstrip(lm(co2~c(1:length(co2)))$residuals) fit <- lspec(co2.detrend)
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