FitAR: Willamette – R documentation

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Willamette

Willamette Riverflow Time Series

Description

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.

Usage

data(Willamette)

Format

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"

Source

http://faculty.washington.edu/dbp/sapabook.html

References

Percival, D.B. and Walden, A.T. (1993), Spectral Analysis for Physical Applications. Cambridge University Press.

Examples

#Percival and Walden (1993) fit an AR(27).
#Compare spectral densities with subset AR's.
data(Willamette)
pmax<-27
sdfplot(FitAR(log(Willamette), pmax))
p<-SelectModel(log(Willamette), ARModel="ARz", lag.max=pmax, Best=1)
sdfplot(FitAR(log(Willamette), p))
p<-SelectModel(log(Willamette), ARModel="ARp", lag.max=pmax, Best=1)
sdfplot(FitAR(log(Willamette), p), ARModel="ARp", MLEQ=FALSE)

FitAR

Subset AR Model Fitting

v1.94

GPL (>= 2)

Authors

A.I. McLeod, Ying Zhang and Changjiang Xu

Initial release

2013-03-15