Willamette {FitAR} | R Documentation |
Monthly flows of the Willamette River, Salem, Oregon, Oct. 1950 - Aug. 1983. Percival and Walden (1993, Ch. 10.15) fit high-order AR models to estimate the spectral density function.
data(Willamette)
The format is: Time-Series [1:395] from 1951 to 1984: 8.95 9.49 10.19 10.96 11.08 ... - attr(*, "title")= chr "Willamette river, Monthly, Salem, Oregon, Oct. 1950 - Aug. 1983"
http://faculty.washington.edu/dbp/sapabook.html
Percival, D.B. and Walden, A.T. (1993), Spectral Analysis for Physical Applications. Cambridge University Press.
#Percival and Walden (1993) fit an AR(27). #Compare spectral densities with subset AR's. data(Willamette) pmax<-27 sdfplot(FitAR(log(Willamette), pmax)) win.graph() p<-SelectModel(log(Willamette), SubsetModel="z", lag.max=pmax, Best=1) sdfplot(FitAR(log(Willamette), p)) win.graph() p<-SelectModel(log(Willamette), SubsetModel="p", lag.max=pmax, Best=1) sdfplot(FitARLS(log(Willamette), p))