[R] Simulating a time series with a given spectrum

Pascal Oettli kridox at ymail.com
Thu May 28 04:28:45 CEST 2015

On Thu, May 28, 2015 at 12:54 AM, Roy Mendelssohn - NOAA Federal
<roy.mendelssohn at noaa.gov> wrote:
> Hi All:
> Is there a routine in R that allows me to simulate a time series that has a given spectrum?  I have looked at the R Time Series Task view, and have done a web search also, including an article to appear in the handbook of statistics on time series in R, but I don’t see anything offhand.  There are some that will simulate state-space models or for given covariances matrices, but for a variety of reasons I would prefer simulating series with a given spectrum.

Not sure it will totally answer your question, but if you are
interested in simulating random time series having the same power
spectrum but random phases as an input time series, you can visit this
website (http://iri.columbia.edu/~vincent/matlab_function_version1/function_matlab.htm).
There is a Matlab function called "ebisuzaki"
which performs this. Of course, this implies you already have a time
series of known spectrum. This function can easily be rewritten in R.

> Thanks for any help.
> -Roy
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> Roy Mendelssohn
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> Environmental Research Division
> Southwest Fisheries Science Center
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Pascal Oettli
Project Scientist
Yokohama, Japan

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