mulspe {timsac} | R Documentation |
Compute multiple spectrum estimates using Akaike window or Hanning window.
mulspe(y, lag = NULL, window = "Akaike", plot = TRUE, plot.scale = FALSE)
y |
a multivariate time series with d variables and n observations. | ||||||
lag |
maximum lag. Default is 2*sqrt(n), where n is the number of observations. | ||||||
window |
character string giving the definition of smoothing window. Allowed strings are "Akaike" (default) or "Hanning". | ||||||
plot |
logical. If TRUE (default) spectrums are plotted as (d,d) matrix.
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plot.scale |
logical. IF |
Hanning Window : | a1(0)=0.5, | a1(1)=a1(-1)=0.25, | a1(2)=a1(-2)=0 |
Akaike Window : | a2(0)=0.625, | a2(1)=a2(-1)=0.25, | a2(2)=a2(-2)=-0.0625 |
spec |
spectrum smoothing by '
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stat |
test statistics. | ||||
coh |
simple coherence by ' |
H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.
sgnl <- rnorm(1003) x <- matrix(0, nrow = 1000, ncol = 2) x[, 1] <- sgnl[4:1003] # x[i,2] = 0.9*x[i-3,1] + 0.2*N(0,1) x[, 2] <- 0.9*sgnl[1:1000] + 0.2*rnorm(1000) mulspe(x, lag = 100, window = "Hanning", plot.scale = TRUE)