Stata 15 help for mf_ucmpsdensity
Title
[M5] ucmpsdensity()  Parametric spectral density of a timeseries
stochastic cycle
Syntax
real matrix ucmpsdensity(real scalar n, real vector rho, real vector
lambda, real vector order, real scalar v, real scalar pspectrum,
real vector range)
Description
ucmpsdensity(n, rho, lambda, d, v, pspectrum, range) computes the
parametric spectral density of a timeseries stochastic cycle defined by
its order, frequency, and damping effect. The cycle frequencies are
stored in the vector rho, and the damping effects are stored in the
vector lambda. v contains the process idiosyncratic error variance.
These cycle parameters can be extracted from an unobservedcomponents
model.
Remarks
ucmpsdensity() returns an n x k+1 matrix containing the spectral
densities in the first k columns and the frequencies in the last column,
where k = length(rho). The parametric spectrum is computed if pspectrum
!= 0. By default, range = (0,pi())
Conformability
ucmpsdensity(n, rho, lambda, order, v, pspectrum, range):
n: 1 x 1
rho: k x 1 or 1 x k
lambda: k x 1 or 1 x k
order: k x 1 or 1 x k
v: 1 x 1
pspectrum: 1 x 1
range: 2 x 1 or 1 x 2
result: n x k+1
Diagnostics
The frequencies, rho, must be in (0,pi()). The damping effects, lambda,
must be in (0,1). The cycle order, order, must contain positive
integers. The variance parameter, v, must be greater than zero. The
range, if specified, must be in [0,pi()].
Source code
ucmpsdensity.mata
