Calculates the periodogram power spectral density estimate value of a time series.
Periodogram(X, Order, Option, $\alpha$)
- is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
- is the time order in the data series (i.e. the first data point's corresponding date (earliest date=1 (default), latest date=0)).
Order Description 1 ascending (the first data point corresponds to the earliest date) (default) 0 descending (the first data point corresponds to the latest date)
- are the pre-processing flag for the input time series (1 = none (default), 2 = detrend-only, 3 = difference only, 4 = auto processing).
Method Description 1 None (default) 2 Detrend (Remove deterministic trend) 3 Difference (1-L) 4 Automatic (detrend/difference)
- is the statistical significance level (i.e. alpha) - Needed for the auto-processing procedure. If missing or omitted, an alpha value of 5% is assumed.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g. #N/A) at either end.
- In the auto-processing option, the periodogram function uses ADF test to examine stationarity and differentiate between a deterministic trend and a stochastic drift.
- The step (k) must be less than or equal to the time series size, or else an error value (#VALUE!) is returned.
- The PERIODOGRAM function is available starting with version 1.64 TURRET.
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