mBTS_Af_mat: mBTS Vector Autoregressive coefficients fourier transform

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

mBTS Vector Autoregressive coefficients fourier transform

Description

DFT Vector Autoregressive coefficients matrix using the mBTS algorithm. This matrix is the base to compute the generalized partial directed coherence

Usage

mBTS_Af_mat(xM, responseindex, pmax, freqs)

Arguments

xM	the matrix of K time series (variables in columns)
responseindex	the index of the response variable in \{1,\ldots,K\}
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.