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-Z algorithms

  • multiple spectral analysis, including raw and smoothed spectral and cross-spectral function estimates, with user-specified window weights

  • choice of kernel for smoothing

  • output of 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