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Here's the description of a C program that'll do the job:
http://www.physionet.org/physiotools/wag/lomb-1.htm
(with a link to the C source code at the bottom of the page). With some work,
this could be converted to a DLL that performs the analysis. It would be quite
slow in EL, no doubt.
What do you see as the advantages of the Lomb algorithm versus FFT or some
other spectral analysis algorithms? From what I've read, there's some debate
as to whether EOD data should be viewed as equally spaced, or whether it should
be translated into the actual calendar time domain (requiring extrapolation for
the missing points, or the use of an technique like the Lomb algorithm). I've
never seen this topic addressed in the literature.
This top-level page has several other useful signal processing algorithms.
> -----Original Message-----
> From: Jerry Gress [mailto:jgass89@xxxxxxxxx]
> Sent: Saturday, September 21, 2002 2:43 PM
> To: omega-list@xxxxxxxxxx
> Subject: Lomb Periodogram
>
>
> Hi List,
>
> Does anyone have an easy to use formula for the Lomb Periodogram as an
> indicator into TS or Excel? Below is a link to the formula.
>
>
>
> http://www.cbi.polimi.it/glossary/Lomb.html
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