Cross-Spectral Analysis
/*--------------------------------------------------------------
SAS Sample Library
Name: speex02.sas
Description: Example program from SAS/ETS User's Guide,
The SPECTRA Procedure
Title: Cross-Spectral Analysis
Product: SAS/ETS Software
Keys: spectral and cross-spectral
analysis of time series
PROC: SPECTRA
Notes:
--------------------------------------------------------------*/
data a;
xl = 0; xll = 0;
do i = - 10 to 100;
x = .4 * xl + rannor(123);
y = .5 * xll + rannor(123);
if i > 0 then output;
xll = xl; xl = x;
end;
run;
proc spectra data=a out=b cross coef a k p ph s;
var x y;
weights 1 1.5 2 4 8 9 8 4 2 1.5 1;
run;
proc contents data=b position;
run;
proc sgplot data=b;
series x=freq y=a_01_02 / markers markerattrs=(symbol=circlefilled);
xaxis values=(0 to 4 by 1);
run;
proc sgplot data=b;
where period < 25;
series x=period y=a_01_02 / markers markerattrs=(symbol=circlefilled);
xaxis values=(0 to 30 by 5);
run;