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Statistics 626

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4.1 Motivation

(such as a time series) and break it up into the sum of simple objects

that can be studied separately, see which ones can be thrown away as

being unimportant, and then adding what’s left back together again to

obtain an approximation to the original object. The periodogram of a time

series is the result of such a procedure.

Given a time series data set of length n (assumed to be even for now for

convenience), it is possible to find cosines and sines of periods

n, n/2, . . . , n/(n/2) = 2 that when added together along with x̄

gives the data set back again.

Mathematically, we have

X

n/2+1

γk [ak cos(2π(t − 1)ωk ) + bk sin(2π(t − 1)ωk )] ,

& %

x(t)−x̄ =

k=2

and ak and bk are the real and imaginary parts of the discrete Fourier

c 1999 by H.J. Newton Slide 1

' Statistics 626

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X

n

z(k) = x(t)e2πi(t−1)ωk , k = 1, . . . , n,

j=1

If we define

X

n/2+1

x(t) − x̄ = γk Ck cos(2π(t − 1)ωk − φk ).

k=2

Further,

1X X

n n/2+1

R̂(0) = (x(t) − x̄) =

2

γk Ck2 .

n t=1

k=2

There are similar formulas for when n is odd (see Theorem 1.4.2 of the

text).

&

Topic 4: The Periodogram Copyright

c 1999 by H.J. Newton

%

Slide 2

' 4.3 Definition of Periodogram

Statistics 626

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Def: A plot of nCk2 versus ωk = (k − 1)/n for k = 1, . . . , [n/2] + 1

is called the periodogram of a data set. The function

2

X

n

1

fˆ(ω) = x(t)e2πi(t−1)ω

, ω ∈ [0, .5],

n t=1

density of the data set.

&

Topic 4: The Periodogram Copyright

c 1999 by H.J. Newton

%

Slide 3

' 4.4 Interpreting the Periodogram

Statistics 626

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1. The periodogram is a very useful tool for describing a time series

data set. We will see it is much more useful than the correlogram but

it does require some training to interpret properly.

2. We will use the terms low frequency and high frequency extensively.

The basic idea is that sinusoids of low frequency (or equivalently

long period) are smooth in appearance whereas those of high

frequency (or short period) are very wiggly. Thus if a time series

appears to be very smooth (wiggly), then the values of the

periodogram for low (high) frequencies will be large relative to its

other values and we will say that the data set has an excess of low

(high) frequency. For a purely random series, all of the sinusoids

should be of equal importance and thus the periodogram will vary

randomly around a constant.

then there will be a peak in the periodogram at that frequency.

then there will be a peak in the periodogram at that frequency but

also peaks at some multiples of that frequency. The first frequency is

& %

called the fundamental frequency and the others called harmonics.

5. One of the aims of this course is to have you describe what a data

set must look like when you can only see its periodogram (see the

old exams for the course for examples).

c 1999 by H.J. Newton Slide 4

' Statistics 626

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&

Topic 4: The Periodogram Copyright

c 1999 by H.J. Newton

%

Slide 5

' 4.6 Cumulative Periodogram

Statistics 626

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A useful tool for describing the overall behavior of the periodogram (and

thus the data set) is the cumulative periodogram

Pk

j=1 fˆ(ωj )

F̂ (ωk ) = Pq ˆ

, k = 1, . . . , q = [n/2] + 1.

j=1 f (ωj )

Note that F̂ starts out near zero at ω1 = 0 and must grow to be equal to

one at ωq = 0.5 since we are accumulating quantities that are

nonnegative.

Note that for a purely random series, F̂ should follow along a line from

(0, 0) to (0.5, 1). For a series having excess of low (high) frequency, F̂

will start out above (below) that y = 2x line, while there will be a jump in

F̂ at any frequency where fˆ has a peak.

&

Topic 4: The Periodogram Copyright

c 1999 by H.J. Newton

%

Slide 6

' Statistics 626

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&

Topic 4: The Periodogram Copyright

c 1999 by H.J. Newton

%

Slide 7

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