Spectral Analysis
The SPECTRA procedure provides spectral analysis and
cross-spectral analysis of time series.
The SPECTRA procedure includes the following features:
- efficient calculation of periodogram and smoothed periodogram using
fast finite Fourier transform and Chirp algorithms
- multiple spectral analysis, including raw and smoothed
spectral and cross-spectral function estimates,
with user-specified window weights
- choice of kernel for smoothing
- outputs the following spectral estimates to a SAS data set:
- Fourier sine and cosine coefficients
- periodogram
- smoothed periodogram
- cospectrum
- quadrature spectrum
- amplitude
- phase spectrum
- squared coherency
- Fisher's Kappa and Bartlett's Kolmogorov-Smirnov test statistic
for testing a null hypothesis of white noise
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.
