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Periodogram

The raw periodogram of the series $\lbrace y_t\rbrace_{0 \le t \lt N}$ is defined by

$p_t= 1/N \lvert \sum_{t=0}^{t \lt N}{y_t e^{-i \omega t}} \rvert^2$

It is usually computed at Fourier frequencies, defined by $\omega_k=2\pi k/N$

It should be noted that the series should be corrected for mean or trend effects

The periodogram is implemented in the class demetra.data.Periodogram