Description Usage Arguments Examples
Calculates the cross periodogram of the vector valued time series X and Y.
1 | cross.Peri(X, Y)
|
X |
data matrix. |
Y |
data matrix. |
1 2 3 4 5 6 7 8 9 10 11 12 | T<-500
d<-c(0.4, 0.2, 0.3)
data<-FI.sim(T, q=3, rho=0, d=d)
X<-data[,1:2]
Y<-data[,3]
cper<-cross.Peri(X, Y)
pmax<-max(Re(cper),Im(cper))
pmin<-min(Re(cper),Im(cper))
plot(Re(cper[1,,]), type="h", ylim=c(pmin,pmax))
lines(Im(cper[1,,]), col=2)
plot(Re(cper[2,,]), type="h", ylim=c(pmin,pmax))
lines(Im(cper[2,,]), col=2)
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