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The SPECTRA Procedure |

To use the SPECTRA procedure, specify the input and output data sets and options for the analysis you want on the PROC SPECTRA statement, and list the variables to analyze in the VAR statement.

For example, to take the Fourier transform of a variable X in a data set A, use the following statements:

proc spectra data=a out=b coef; var x; run;

This PROC SPECTRA step writes the Fourier coefficients
*a*_{k} and *b*_{k} to the variables COS_01 and SIN_01
in the output data set B.

When a WEIGHTS statement is specified, the periodogram is smoothed by a weighted moving average to produce an estimate for the spectral density of the series. The following statements write a spectral density estimate for X to the variable S_01 in the output data set B.

proc spectra data=a out=b s; var x; weights 1 2 3 4 3 2 1; run;

When the VAR statement specifies more than one variable, you can perform cross-spectral analysis by specifying the CROSS option. The CROSS option by itself produces the cross-periodograms. For example, the following statements write the real and imaginary parts of the cross-periodogram of X and Y to the variable RP_01_02 and IP_01_02 in the output data set B.

proc spectra data=a out=b cross; var x y; run;

To produce cross-spectral density estimates, combine the CROSS option and the S option. The cross-periodogram is smoothed using the weights specified by the WEIGHTS statement in the same way as the spectral density. The squared coherency and phase estimates of the cross-spectrum are computed when the K and PH options are used.

The following example computes cross-spectral density estimates for the variables X and Y.

proc spectra data=a out=b cross s; var x y; weights 1 2 3 4 3 2 1; run;

The real part and imaginary part of the cross-spectral density estimates are written to the variable CS_01_02 and QS_01_02, respectively.

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