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)
--
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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 at 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.
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.
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 at 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.
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.