Spectral Density of Time Series

Discussion in 'CS2' started by NewStudent, Jan 15, 2020 at 8:48 AM.

  1. NewStudent

    NewStudent Keen member


    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:
    I also used the spectrum function on EuStockMarkets FTSE data set and got the following output:
    Can anyone tell how to estimate no. of cycles per year on each of above dataset? What is the trick to understand above graphs?

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