-----Original Message-----
From: [EMAIL PROTECTED] on behalf of Neil Gupta
Sent: Thu 6/5/2008 15:21
To: R-help@r-project.org
Subject: [R] Fourier Transform
Hello All,
I wanted to perform a fourier transform on high frequency financial data. I
have searched and have not found much on this topic for R. I was wondering
if anyone has used any libraries for it or have come across any papers I may
read.
Many Thanks,
Neil Gupta
Dear Neil,
I'm not sure this can be of any help, but here it is anyway.
Given a real function, sample it:
------------------------------
## Sampled density (N points)
sample_rho <- function(rho,N)
{
xS <- seq(0,1,length=N+1)[1:N]
yS <- rho(xS)
xSyS <- list(xS,yS)
return(xSyS)
}
------------------------------
Then use these sampled values to perform Fourier transform:
------------------------------
xS <- sample_rho(rho,N)[[1]]
yS <- sample_rho(rho,N)[[2]]
F_complex <- fft(yS)/length(yS)
F <- Mod(F_complex)
f <- Arg(F_complex)
F[1] <- Re(F_complex[1])
f[1] <- 0
------------------------------
I have used these and other similar lines when writing an educational paper on
Fourier transforms and aliasing:
J. Foadi - "A simple approach to Fourier aliasing" - Eur J Phys 28 (2007)
551-561
My best regards,
James
Dr James Foadi PhD
Membrane Protein Laboratory (MPL)
Diamond Light Source Ltd
Diamond House
Harewell Science and Innovation Campus
Chilton, Didcot
Oxfordshire OX11 0DE
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