time series in R

Ross Ihaka ihaka@stat.auckland.ac.nz
Tue, 20 Jul 1999 12:31:13 +1200 (NZST)

On Mon, 19 Jul 1999, Prof Brian D Ripley wrote:

> >     3.	On the definition question: The existing FFT implementation
> > 	uses a particular definition for the discrete transform which
> > 	is pretty standard.  (Edwards "Fourier Series", Brillinger
> > 	"Time Series" etc.) Using another definition may complicate
> > 	documentation.
> That's the simple part.  But what is the divisor in the periodogram? Which
> way do lags go in acfs of bivariate series, and which sign is the phase for
> bivariate spectra?

Once you settle the forward discrete transform much of this is settled.
No constant in the dft implies
	Periodogram = |dft|^2/(2*pi*T)
Phases in spectra also fall out if you take a +ve exponent in the dft.

I don't much mind about these choices, but its probably a good idea to
be consistent.

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