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Posted 08-24-2015 11:02 AM
(2684 views)

I have a time series where I want to do a real Fourier transform

Since the data has missing values, I cannot use a FFT which requires equidistant data.

PROC SPECTRA either use the classical cool-Tukey when data=2**n or a chirp-Z, but since Proc spectra does not require the time information, this is not the way. Anyone with experience of a real FT in SAS?

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Hello -

Not sure I completely understand this question but here are some pointers which may be useful:

- Spectral Density Analysis in PROC TIMESERIES: http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_timeseries_sec...
- FFT Function in SAS/IML to perform finite Fourier transformation: http://support.sas.com/documentation/cdl/en/imlug/59656/HTML/default/viewer.htm#langref_sect80.htm

Thanks,

Udo

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Except that the FFT function in SAS/IML won't work with the missing value. It requires a vector of nonmissing.

You could interpolate or otherwise model the signal at the missing values, and then take an FFT of the interpolated signal.

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Rick Wicklin wrote:

You could interpolate or otherwise model the signal at the missing values, and then take an FFT of the interpolated signal.

PROC EXPAND is designed to aide with this.

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