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Spectral Density of Time Series

NewStudent

Active Member
Hello,

Can anyone please help me with the spectral density function, Inversion formula, Spectral density function for ARMA(p,q) and Linear filters given on Page 41 of Tables? I cannot find their detail explanation in core reading.

Also, how to find the number of cycles per unit time for given time series data set in R? So that I can use it for seasonal differencing
I tries to use spectrum function on ldeaths data set in R and got the following output:
ldeaths.png
I also used the spectrum function on EuStockMarkets FTSE data set and got the following output:
FTSE.png
Can anyone tell how to estimate no. of cycles per year on each of above dataset? What is the trick to understand above graphs?
 
Can any Acted Tutor please explain where to find additional explanation on spectral analysis in Core Reading? Also where are the formulae given on Page 41 of Tables mentioned in Core Reading?
 
Spectral density is beyond the scope of Subject CS2. That's why it isn't in the Core Reading. I know it is briefly mentioned in PBOR, but we're planning to delete it when the course is updated for the 2021 exams. So please don't worry about it.
 
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