oops sorry n 08.04.2012 20:39, Bazman76 wrote: > Hi there, > > Can someone explain what the difference between spec.pgram and spec.ar is? > > I understand that they attempt to do the same thing one using an AR > estimation of the underlying series to estimate teh sensity the other > using > the FFT. However when applied to teh same data set they seem to be giving > quite different results? > > http://r.789695.n4.nabble.com/file/n4541358/R_example.jpg > > > Clearly the spec.ar() result seems to be smoothed but the results are also > generally very different only really sharing the peak as the frequencies > go > towards zero. > > Can someone please explain why these two functions produce such different > results on the same data set? « [hide part of quote]
*Because they really measure different things? Why do you expect to get the same output in time as well as in frequency domain? * Uwe Ligges > > code shown below: > > library("waveslim") > > vols=read.csv(file="C:/Users/ocuk/My Documents/Abs Vol.csv", header=TRUE, > sep=",") > x<-ts(vols[,1]) > #x > > ## LA(8) > vol.la8<- mra(x, "la8", 4, "modwt") > names(vol.la8)<- c("d1", "d2", "d3", "d4", "s4") > ## plot multiresolution analysis of IBM data > #par(mfcol=c(6,1), pty="m", mar=c(5-2,4,4-2,2)) > par(mfcol=c(3,1), pty="m", mar=c(5-2,4,4-2,2)) > plot.ts(x, axes=F, ylab="", main="(abs rtns)") > #for(i in 1:5) > # plot.ts(vol.la8[[i]], axes=F, ylab=names(vol.la8)[i]) > #axis(side=1, at=seq(0,1600,by=100), > # labels=c(0,"",200,"",400,"",600,"",800,"",1000,"",1200,"",1400,"",1600)) > > spectrum(vol.la8[[1]]) > specx<- spec.ar(x) > > -- > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. « [hide part of quote] *OK so I neeed to understan better what it it they are trying to measure. I understood (incorrectly it seems) that they were simply different methods to get the same result? * -- View this message in context: http://r.789695.n4.nabble.com/Difference-between-spec-pgram-spec-ar-tp4541358p4543140.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.