DaniellSpectrum.compute#

DaniellSpectrum.compute()[source]#

Estimate the density matrix.

Forms the cross-periodogram on the Fourier grid and convolves it with the modified Daniell kernel around the circle.

Return type:

SpectrumEstimate

Returns:

The SpectrumEstimate on nobs // 2 + 1 Fourier frequencies, with degrees_of_freedom = 16 m^2 / (4 m - 1) and bandwidth = 2 pi m / nobs.

Example

>>> rng = np.random.default_rng(0)
>>> est = DaniellSpectrum(rng.standard_normal((256, 2)), span=1).compute()
>>> est.method, est.frequencies.shape, round(est.degrees_of_freedom, 2)
('daniell', (129,), 5.33)