mBTSRGPDC: Restricted Generalized Partial Directed Coherence

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

Restricted Generalized Partial Directed Coherence

Description

partial directed coherence matrix values based on the mBTS algorithm for estimation of the VAR parameters

Usage

mBTSRGPDC(xM, pmax, freqs)

Arguments

xM	the matrix of K time series (variables in columns)
pmax	maximum order(lag) of the VAR model to be considered
freqs	frequencies at which the spectral density is estimated

Value

the matrix of all the Restricted Generalized Partial Directed Coherence index across the series of a multivariate set. #'

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