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Class "ArmaSpectrum"

ArmaSpectrum-class.Rd

Objects from class "ArmaSpectrum" spectra computed by spectrum.

Details

The methods for show, print and plot work analogously to those for class "Spectrum" (which is a super class of "ArmaSpectrum"). In addition, print and show print also the parameters of the ARMA model.

Objects from the Class

Objects contain spectra produced by sarima::spectrum (recommended), see spectrum for details.

Objects can also be created by calls of the form new("ArmaSpectrum", ar = , ma = , sigma2 = , ...), where ar and ma are numeric vectors and sigma2 is a number. sigma2 may be omitted but then only normalized spectra can be computed. There further possibilities for the arguments but they should be considered internal and subject to change.

Slots

All slots are inherited from class "Spectrum".

.Data:

Object of class "function".

call:

Object of class "call".

model:

Object of class "ANY".

Methods

initialize

signature(.Object = "ArmaSpectrum"): ...

Author

Georgi N. Boshnakov

See also

class "Spectrum" for further details,

spectrum for further examples

Examples

## spectral density of the stationary part of a fitted 'airline model'
fit0 <- arima(AirPassengers, order = c(0,1,1),
              seasonal = list(order = c(0,1,1), period = 12))
sd.air <- spectrum(fit0)
show(sd.air)
#> standardized spectral density of the following ARMA(0,13) model:
#>   ar coef: 
#>   ma coef: -0.3087 0 0 0 0 0 0 0 0 0 0 -0.1074 0.03317
#>   sigma2:  135.4237
#> 
#> 
#> 
#> Peaks:
#>            freq      spec    period
#> [1,] 0.04330709 0.5534585 23.090909
#> [2,] 0.12992126 0.7355095  7.696970
#> [3,] 0.21259843 1.0438583  4.703704
#> [4,] 0.29527559 1.3951830  3.386667
#> [5,] 0.37795276 1.6971778  2.645833
#> [6,] 0.46062992 1.8701110  2.170940
#> 
#> Troughs:
#> 
#>            freq      spec    period
#> [1,] 0.00000000 0.3436561  0.000000
#> [2,] 0.08267717 0.4023487 12.095238
#> [3,] 0.16535433 0.5631871  6.047619
#> [4,] 0.24803150 0.7843876  4.031746
#> [5,] 0.33070866 1.0084214  3.023810
#> [6,] 0.41732283 1.1732882  2.396226
#> [7,] 0.50000000 1.2314609  2.000000
#> 
#> max peak/min trough:
#> 	5.441809
#> 

plot(sd.air, log = "y") # plot log of the spectral density


## use the "ArmaSpectrum" object as a function to evaluate the sp. density:
sd.air(seq(0, 0.5, length.out = 13))
#>  [1] 0.3436561 0.5523423 0.4031278 0.7292153 0.5656073 1.0355684 0.7875585
#>  [8] 1.3893145 1.0095097 1.6956676 1.1719893 1.8725407 1.2314609
sd.air(seq(0, 0.5, length.out = 13), standardize = FALSE)
#>  [1]  51.56190  82.87301  60.48498 109.41090  84.86329 155.37589 118.16468
#>  [8] 208.45168 151.46606 254.41666 175.84437 280.95456 184.76745

## white noise (constant spectral density)
sp.wn <- spectrum(ArmaModel(sigma2 = 2))
sp.wn
#> standardized spectral density of the following ARMA(0,0) model:
#>   ar coef: 
#>   ma coef: 
#>   sigma2:  2
#> 
#> constant, equal to 1 for all frequencies
print(sp.wn)
#> standardized spectral density of the following ARMA(0,0) model:
#>   ar coef: 
#>   ma coef: 
#>   sigma2:  2
#> 
#> constant, equal to 1 for all frequencies

print(sp.wn, standardize=FALSE)
#> spectral density of the following ARMA(0,0) model:
#>   ar coef: 
#>   ma coef: 
#>   sigma2:  2
#> 
#> constant, equal to 2 for all frequencies
show(sp.wn)
#> standardized spectral density of the following ARMA(0,0) model:
#>   ar coef: 
#>   ma coef: 
#>   sigma2:  2
#> 
#> constant, equal to 1 for all frequencies