[SciPy-Dev] Pull Req: Add periodogram and welch functions

josef.pktd@gmai... josef.pktd@gmai...
Mon Dec 3 22:01:32 CST 2012


On Mon, Dec 3, 2012 at 10:26 PM, Jake Vanderplas
<vanderplas@astro.washington.edu> wrote:
> Hi Eric,
> The contribution looks good.  Have you compared your results to those of
> matplotlib.mlab.psd()?  I believe that also implements Welch's method.
>     Jake

I'm also glad someone provides this in scipy.

nitime from the nipy community also has more spectral analysis.

Just one question: Should the periodogram have a bandwidth, window
length choice?
for example what's the M in your "flattop" example.

partial aside:
I worked on this for statsmodels some time (years) ago, but I never
could quite figure out how to do the windows smoothing with the
provided windows. (statsmodels only has raw, unwindowed periodogram
and spectral density from estimated IIR/ARMA coefficients.)
I didn't manage to get matplotlib's Welch implementation to work
meaningfully for short time series that we have in economics, but I
think your periodogram should "work like in the textbook".

Thanks,
Josef

>
> On 12/03/2012 06:54 PM, Eric Moore wrote:
>> Hi, I've just submitted a pull request to add a function to compute a
>> simple (modified) periodogram and a periodogram using Welch's method.
>>
>> The pull request is https://github.com/scipy/scipy/pull/373
>>
>> The biggest question I have with my implementation is whether welch
>> should support padded FFTs and detrending.  But I'm happy to hear any
>> feedback.
>>
>> Eric
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>
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