getCoherency-QuantileSD: Compute quantile coherency from a quantile spectral density...

In quantspec: Quantile-Based Spectral Analysis of Time Series

Compute quantile coherency from a quantile spectral density kernel

Description

Returns quantile coherency defined as

\frac{f^{j_1, j_2}(\omega; \tau_1, \tau_2)}{(f^{j_1, j_1}(\omega; \tau_1, \tau_1) f^{j_2, j_2}(\omega; \tau_2, \tau_2))^{1/2}}

where f^{j_1, j_2}(\omega; \tau_1, \tau_2) is the quantile spectral density.

Usage

## S4 method for signature 'QuantileSD'
getCoherency(
  object,
  frequencies = 2 * pi * (0:(object@N - 1))/object@N,
  levels.1 = getLevels(object, 1),
  levels.2 = getLevels(object, 2),
  d1 = 1:(dim(object@values)[2]),
  d2 = 1:(dim(object@values)[4])
)

Arguments

object	QuantileSD of which to get the values
frequencies	a vector of frequencies for which to get the values
levels.1	the first vector of levels for which to get the values
levels.2	the second vector of levels for which to get the values
d1	optional parameter that determine for which j1 to return the data; may be a vector of elements 1, ..., D
d2	same as d1, but for j2

Details

For the mechanism of selecting frequencies, dimensions and/or levels see, for example, getValues-QuantileSD.

Value

Returns data from the coherency as defined in the details.

See Also

For examples on how to use this function go to QuantileSD.

quantspec documentation built on Sept. 11, 2024, 9:15 p.m.