Re: [R] Difference between spec.pgram spec.ar
On 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? 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) -- View this message in context: http://r.789695.n4.nabble.com/Difference-between-spec-pgram-spec-ar-tp4541358p4541358.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. __ 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.
Re: [R] Difference between spec.pgram spec.ar
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-tp4541358p4542985.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.
Re: [R] Difference between spec.pgram spec.ar
On 09.04.2012 17:01, Bazman76 wrote: 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? Yes. Also note this is a mailing list and you are lucky I was able to remember the context. Please always quote the prior thread and do not only send to the list. Uwe Ligges -- View this message in context: http://r.789695.n4.nabble.com/Difference-between-spec-pgram-spec-ar-tp4541358p4542985.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. __ 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.
Re: [R] Difference between spec.pgram spec.ar
On Apr 9, 2012, at 16:55 , Uwe Ligges wrote: On 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? Because they really measure different things? Why do you expect to get the same output in time as well as in frequency domain? That wasn't the question There is a raw series and two spectra, and it is the difference between the latter that is remarkable. Offhand, this is of course a bit like comparing a model fit to a nonparametric smoother of ordinary measurements: Sometimes the data just do something that the model says that they can't do and you get huge discrepancies. So the first reaction must be that an autoregressive model is just wrong for these data. My second reaction would be that the original series look a bit like they might have an asymmetric distribution, so perhaps a log or a square root transformation is warranted. That being said, I'm still quite stumped trying to explain the pattern in the raw periodogram. Notice that what you are seeing is not so much an initial peak as a region in which the spectrum drops effectively to zero. Have the data by any chance been subject to some sort of preprocessing that removes low-frequency components? At any rate, this isn't really about R, is it? -- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Email: pd@cbs.dk Priv: pda...@gmail.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.
Re: [R] Difference between spec.pgram spec.ar
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.
Re: [R] Difference between spec.pgram spec.ar
Yes I agree, there may be something pathalogical in the way at least one of the models handles the data. That's why I was trying to get a better handle on how the two functions spec.prgm() and spec.ar() work. The data has been processed by a wavelet analysis, so what you are seeing as the raw data is in fact the level1 details from the wavelet anlaysis. In theory this should only have high frequency components, that was why I am so surpirsed to see such strong components at low frequencies. That is not a R quesiton per se, but surely how spec.prgm() and spec.ar() work is? -- View this message in context: http://r.789695.n4.nabble.com/Difference-between-spec-pgram-spec-ar-tp4541358p4543191.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.
Re: [R] Difference between spec.pgram spec.ar
On Mon, Apr 9, 2012 at 9:27 AM, Bazman76 h_a_patie...@hotmail.com wrote: Yes I agree, there may be something pathalogical in the way at least one of the models handles the data. That's why I was trying to get a better handle on how the two functions spec.prgm() and spec.ar() work. The data has been processed by a wavelet analysis, so what you are seeing as the raw data is in fact the level1 details from the wavelet anlaysis. In theory this should only have high frequency components, that was why I am so surpirsed to see such strong components at low frequencies. That is not a R quesiton per se, but surely how spec.prgm() and spec.ar() work is? Not necessarily, if they are e.g. C or Fortran programs merely called by R. Indeed, even if written in R, if the algorithms are the issue, then that is essentially a statistics/numerical analysis matter, not an R programming one. -- Bert -- View this message in context: http://r.789695.n4.nabble.com/Difference-between-spec-pgram-spec-ar-tp4541358p4543191.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. -- Bert Gunter Genentech Nonclinical Biostatistics Internal Contact Info: Phone: 467-7374 Website: http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm __ 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.
Re: [R] Difference between spec.pgram spec.ar
On 09/04/2012 18:52, Bert Gunter wrote: On Mon, Apr 9, 2012 at 9:27 AM, Bazman76h_a_patie...@hotmail.com wrote: Yes I agree, there may be something pathalogical in the way at least one of the models handles the data. That's why I was trying to get a better handle on how the two functions spec.prgm() and spec.ar() work. The data has been processed by a wavelet analysis, so what you are seeing as the raw data is in fact the level1 details from the wavelet anlaysis. In theory this should only have high frequency components, that was why I am so surpirsed to see such strong components at low frequencies. That is not a R quesiton per se, but surely how spec.prgm() and spec.ar() work is? Not necessarily, if they are e.g. C or Fortran programs merely called by R. Indeed, even if written in R, if the algorithms are the issue, then that is essentially a statistics/numerical analysis matter, not an R programming one. Which is why the help pages often (and do here) have definitive references. So the best course of action is to start following up the references. -- Brian D. Ripley, rip...@stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UKFax: +44 1865 272595 __ 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.
[R] Difference between spec.pgram spec.ar
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? 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) -- View this message in context: http://r.789695.n4.nabble.com/Difference-between-spec-pgram-spec-ar-tp4541358p4541358.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.
