dot-computeCoherency: Workhorse function for 'getCoherency-SmoothedPG'.
In quantspec: Quantile-Based Spectral Analysis of Time Series
Description
Arguments
Value
References
Description
C++ implementation to increase performance.
Arguments
V
a 3-dimensional array of complex numbers; dimensions are
[N, K1, K2], where N frequencies are
ω_j := 2π j/N for j=0,…,N.
W
a vector of length W of length N used for smoothing.
Value
Returns an array with complex numbers
σ(τ_1, τ_2, ω_j as defined in
Kley et. al (2016), p. 26.
References
Barunik, J. & Kley, T. (2019).
Quantile Coherency: A General Measure for Dependence Between Cyclical
Economic Variables. Econometrics Journal, 22, 131–152.
http://arxiv.org/abs/1401.8104.
quantspec documentation built on July 15, 2020, 1:07 a.m.
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Description Arguments Value References
Description
C++ implementation to increase performance.
Arguments
V |
a 3-dimensional array of complex numbers; dimensions are
|
W |
a vector of length |
Value
Returns an array with complex numbers σ(τ_1, τ_2, ω_j as defined in Kley et. al (2016), p. 26.
References
Barunik, J. & Kley, T. (2019). Quantile Coherency: A General Measure for Dependence Between Cyclical Economic Variables. Econometrics Journal, 22, 131–152. http://arxiv.org/abs/1401.8104.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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