Spectral Density of Time Series

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

  1. NewStudent

    NewStudent Keen 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?
     

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