distance_matrix_RGPDC: Pairwise distance matrix based on the restricted generalized...

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

Pairwise distance matrix based on the restricted generalized partial directed coherence

Description

Pairwise distance matrix of a multivariate time series based on the the restricted generalized partial directed coherence distance between two series

Usage

distance_matrix_RGPDC(unit, pmax, period)

Arguments

unit	A matrix representing a multivariate time series where each column is a univariate time series.
pmax	maximum order(lag) of the VAR model to be considered
period	Integer referencing the index of the frequency to use for the distance. It gives the Hertz or periods per unit of time; i.e., if the sampling is per minute, and each hour cycle is the period of interest

Value

a matrix with pairwise distances

See Also

Siggiridou, Elsa, Vasilios K. Kimiskidis, and Dimitris Kugiumtzis. "Dimension Reduction of Frequency-Based Direct Granger Causality Measures on Short Time Series." Journal of Neuroscience Methods 289 (September 2017) : 64-74. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jneumeth.2017.06.021")}

Examples

X=matrix( rnorm(2000), ncol=10  )
pmax=4
period=3
distance_matrix_RGPDC(unit=X, pmax, period)

AnomalyScore documentation built on April 4, 2025, 3:13 a.m.