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abarbour
psd:Adaptive, Sine-Multitaper Power Spectral Density and Cross Spectrum Estimation
Produces power spectral density estimates through iterative refinement of the optimal number of sine-tapers at each frequency. This optimization procedure is based on the method of Riedel and Sidorenko (1995), which minimizes the Mean Square Error (sum of variance and bias) at each frequency, but modified for computational stability. The same procedure can now be used to calculate the cross spectrum (multivariate analyses).
Maintained by Andrew J. Barbour. Last updated 2 years ago.
multitaperpower-spectral-densitypower-spectrumpsdspectral-density-estimatesspectrumopenblascpp
9 stars 7.12 score 122 scripts 1 dependents
cran
TSA:Time Series Analysis
Contains R functions and datasets detailed in the book "Time Series Analysis with Applications in R (second edition)" by Jonathan Cryer and Kung-Sik Chan.
Maintained by Kung-Sik Chan. Last updated 3 years ago.
2 stars 4.58 score 5 dependents