node17 Lab 10 - Spectral Density - Comparing Fits STAT 510 - Applied Time Series Analysis

# Node17 Lab 10 - Spectral Density - Comparing Fits STAT 510 - Applied Time Series Analysis

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This is Google's cache of http://onlinecourses.science.psu.edu/stat510/node/17 . It is a snapshot of the page as it appeared on 21 Jul 2010 10:24:45 GMT. The current page could have changed in the meantime. Learn more Text-only version STAT 510 - Applied Time Series Analysis ANGEL Department of Statistics Eberly College of Science Home Lab 10 - Spectral Density - Comparing Fits In this class, we will compare our non-parametric spectral density

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estimate with the spectral density associated with a time domain fit. Recall the function specplot in the file lab9function.R . This function takes a smoothed periodogram and the arguments for an ARMA model and returns a plot with the spectral density of the model along with the smoothed periodogoram. As an example, we look at the 200 years of average summer temperature data ( summer.dat ). An AR (1) fits fairly well and we obtain the following output. (To input the data, use x=scan("summer.dat", skip=1) .) Since there is a substantial amount of data, we may use a fairly wide window to smooth the periodogram. We
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Unformatted text preview: use the following commands to plot the smoothed periodogram with the fit spectral density. temp=spec.pgram(x,log="no", spans=c(25,25)) specplot(temp,phi=c( 0.1969),theta=c(0),sigsq= 0.6451) Lab 10 - Spectral Density - Comparing Fits Start Here! • Welcome to STAT 510! Lessons • Section 1: Introduction and Basics • Section 2: Time Domain Models • Section 3: Spectral Domain Models Labs • Overview of Lab Exercises • Lab 1 - R Basics • Lab 2 - Using Scripts and Writing Functions • Lab 3 - Producing Output and Plots • Lab 4 - Smoothing and Removing Trends • Lab 5 - ACF and PACF Plots • Lab 6 - Building ARIMA Models • Lab 7 - Building SARIMA Models • Lab 8 - Fitting Regression Models with Dependent Errors • Lab 9 - Estimating Spectral Density • Lab 10 - Spectral Density - Comparing Fits • Lab 11 - Smoothing and Taper within Spectral Density...
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