The SPECTRA procedure provides spectral analysis and cross-spectral analysis of time series. The SPECTRA procedure includes the following features:
efficient calculation of periodogram and smoothed periodogram using fast finite Fourier transform and Chirp-Z algorithms
multiple spectral analysis, including raw and smoothed spectral and cross-spectral function estimates, with user-specified window weights
choice of kernel for smoothing
output of the following spectral estimates to a SAS data set:
Fourier sine and cosine coefficients
periodogram
smoothed periodogram
cospectrum
quadrature spectrum
amplitude
phase spectrum
squared coherency
Fisher’s Kappa and Bartlett’s Kolmogorov-Smirnov test statistic for testing a null hypothesis of white noise