Periodogram*
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Periodogram*
This thread is about Periodogram* Addin which calculates the estimated spectrum of a time series series object.
Re: Periodogram*
Very nice and useful addin. Thanks for sharing.
Re: Periodogram*
Hi
I've just tried this addin with US industrial production data. I couldn't replicate the periodogram in the accompanying documentation either in scale or peaks. I didn't get the nice sharp welldefined peaks seen in graph 5.
I calculated the percentage MoM change as 100*dlog(indpro) from 1919 to November 2013 (which seems to be how it was calculated in the documentation).
Any ideas?
I've just tried this addin with US industrial production data. I couldn't replicate the periodogram in the accompanying documentation either in scale or peaks. I didn't get the nice sharp welldefined peaks seen in graph 5.
I calculated the percentage MoM change as 100*dlog(indpro) from 1919 to November 2013 (which seems to be how it was calculated in the documentation).
Any ideas?
Last edited by terrya on Fri Dec 20, 2013 12:50 am, edited 1 time in total.
Re: Periodogram*
Hi,
I do it with genr ip_mom=@pc(ip).And the series source is: http://www.econstats.com/ipcu/ip_m1.htm the nsa.
I do it with genr ip_mom=@pc(ip).And the series source is: http://www.econstats.com/ipcu/ip_m1.htm the nsa.
Re: Periodogram*
Got it and replicated your result.
Re: Periodogram*
Hi
I should have added that I used SA data in my first estimation. I probably didn't read the documentation carefully enough (a bad habit I have).
I should have added that I used SA data in my first estimation. I probably didn't read the documentation carefully enough (a bad habit I have).
Re: Periodogram*
thank's for this addin , just i have one suggestion if in next version of Periodogram (update version) can calculte spectral density and show the spectral density like oxmetrics software.
best regard.
best regard.
Re: Periodogram*
I don’t know OxMetrics. But the Periodogram is the nonparametric estimator of the population spectrum, perhaps what is needed is the estimated periodogram with kernel (different windows, I'm working on it). I'm not sure if you were talking about this. I would appreciate if you send me papers or literature if not. Thanks.
Re: Periodogram*
thank's for your reply
yes I'm talking about the different windows
for OxMetrics 6 it will plot spectral density and periodogram in separate graphs for the serie it use probably Parzen windows (see the picture), the question is I can do periodogram and spectral density with defferent windows?
I will send you some papers in next time
best regards. ecofin
yes I'm talking about the different windows
for OxMetrics 6 it will plot spectral density and periodogram in separate graphs for the serie it use probably Parzen windows (see the picture), the question is I can do periodogram and spectral density with defferent windows?
I will send you some papers in next time
best regards. ecofin
 Attachments

 spectral density and periodogram for OxMetrix 6
 ddj.JPG (26.37 KiB) Viewed 9921 times
Re: Periodogram*
this is a papers of spectral density see chapter 7 page 121 the analysis of time series an introduction 6th ed, Chris Chatfield, CHAPMAN AND HALL/CRC, I have some suggestions if you can work some different windows like:
a/Parzen
b/TukeyHanning (TukeyHann)
c/TukeyHamming
d/Daniell
e/Quadratic Parzen
f/Bartlett
g/Truncated
with a more options like:
1/number of points (intervals) like: auto or custom, series length.
2/bandwith: auto or custom, log scale.
3/calculated: omega, scaled frequency, periods, spectral density (in series output)
if there are other windows I'm appreciate to add it in next version of the addin.
it's just my opinion
some books:
1Time Series Analysis and Its Applications With R Examples 3rd ed, Robert H. Shumway David S. Stoffer, Springer. (chapter 4)
2Time Series Analysis With Applications in R, 2nd ed, Jonathan D. Cryer KungSik Chan, Springer. (chapter 13 and 14)
3Introductory Time Series with R, 1st ed, Paul S.P. Cowpertwait · Andrew V. Metcalfe, Springer. (chapter 9)
4Time Series: Theory and Methods, 2nd ed, Peter J. Brockwell Richard A. Davis, Springer. ( chapter 4 and 10)
5Introduction to Time Series and Forecasting, 2nd ed, Peter J. Brockwell Richard A. Davis, Springer. (chapter 4)
6the spectral analysis of time series: probability and mathematical statistics volume 22, Acadimic Press, Lambert H. Koopmans.
finally the next verion of addin will contain: data periodogram and estimate of A and B (like this version), and different windows (spectral density) with options.
best regrads. ecofin
a/Parzen
b/TukeyHanning (TukeyHann)
c/TukeyHamming
d/Daniell
e/Quadratic Parzen
f/Bartlett
g/Truncated
with a more options like:
1/number of points (intervals) like: auto or custom, series length.
2/bandwith: auto or custom, log scale.
3/calculated: omega, scaled frequency, periods, spectral density (in series output)
if there are other windows I'm appreciate to add it in next version of the addin.
it's just my opinion
some books:
1Time Series Analysis and Its Applications With R Examples 3rd ed, Robert H. Shumway David S. Stoffer, Springer. (chapter 4)
2Time Series Analysis With Applications in R, 2nd ed, Jonathan D. Cryer KungSik Chan, Springer. (chapter 13 and 14)
3Introductory Time Series with R, 1st ed, Paul S.P. Cowpertwait · Andrew V. Metcalfe, Springer. (chapter 9)
4Time Series: Theory and Methods, 2nd ed, Peter J. Brockwell Richard A. Davis, Springer. ( chapter 4 and 10)
5Introduction to Time Series and Forecasting, 2nd ed, Peter J. Brockwell Richard A. Davis, Springer. (chapter 4)
6the spectral analysis of time series: probability and mathematical statistics volume 22, Acadimic Press, Lambert H. Koopmans.
finally the next verion of addin will contain: data periodogram and estimate of A and B (like this version), and different windows (spectral density) with options.
best regrads. ecofin
 Attachments

 chapter7.zip
 (593.67 KiB) Downloaded 351 times
Re: Periodogram*
thanks for the papers, suggestions and ideas. I will finish soon. thank you again.
Re: Periodogram*
it's me that I must thank you again
other books if you are interested for mutivariate series in spectral density
1Spectral Analysis and time series: univariate series, volume 1, M. B.Priestley, ACADIMIC PRESS 1981.
2Spectral Analysis and time series: multivariate series, volume 2, M. B.Priestley, ACADIMIC PRESS 1981.
3Univariate Time Series in Geosciences: Theory and Examples, Hans Gilgen, Springer 2006. (chapter 6789).
other books if you are interested for mutivariate series in spectral density
1Spectral Analysis and time series: univariate series, volume 1, M. B.Priestley, ACADIMIC PRESS 1981.
2Spectral Analysis and time series: multivariate series, volume 2, M. B.Priestley, ACADIMIC PRESS 1981.
3Univariate Time Series in Geosciences: Theory and Examples, Hans Gilgen, Springer 2006. (chapter 6789).
Re: Periodogram*
I have simple suggestion, if the next version will calculate and graph periodogram and spectral density with different windows for equation object for ARMA model and for group series, for all objects for example: LogL object state space object...etc?
kind regards.
kind regards.
Re: Periodogram*
Hi,
I don't understand the suggestion. Do you mean for the residuals from an equation or statespace representation? or for a series simulated with an ARMA(p,q) data generating mechanism?
Regards.
I don't understand the suggestion. Do you mean for the residuals from an equation or statespace representation? or for a series simulated with an ARMA(p,q) data generating mechanism?
Regards.
Re: Periodogram*
This addin calculates the estimated spectrum of a series object. if the next version will support equation object, state space object, logL object (this is my suggestion).
for example I estimate ARMA(2,1) next I chose PROC next addin next periodogram, the same for state space and logL objects.
have you understand me.
kind regrads
for example I estimate ARMA(2,1) next I chose PROC next addin next periodogram, the same for state space and logL objects.
have you understand me.
kind regrads
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