mulfrf {timsac} | R Documentation |
Compute multiple frequency response function, gain, phase, multiple coherency, partial coherency and relative error statistics.
mulfrf(y, lag = NULL, iovar = NULL)
y |
a multivariate time series. |
lag |
maximum lag. Default is 2*sqrt(n), where n
is the number of rows in |
iovar |
input variables |
cospec |
spectrum (complex). |
freqr |
frequency response function : real part. |
freqi |
frequency response function : imaginary part. |
gain |
gain. |
phase |
phase. |
pcoh |
partial coherency. |
errstat |
relative error statistics. |
mcoh |
multiple coherency. |
H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.
ar <- array(0, dim = c(3,3,2)) ar[, , 1] <- matrix(c(0.4, 0, 0.3, 0.2, -0.1, -0.5, 0.3, 0.1, 0), nrow = 3, ncol = 3, byrow = TRUE) ar[, , 2] <- matrix(c(0, -0.3, 0.5, 0.7, -0.4, 1, 0, -0.5, 0.3), nrow = 3, ncol = 3, byrow = TRUE) x <- matrix(rnorm(200*3), nrow = 200, ncol = 3) y <- mfilter(x, ar, "recursive") mulfrf(y, lag = 20)