getCoherency-SmoothedPG: Compute quantile coherency from a smoothed quantile...

In quantspec: Quantile-Based Spectral Analysis of Time Series

Compute quantile coherency from a smoothed quantile periodogram.

Description

Returns quantile coherency defined as

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

where G^{j_1, j_2}(\omega; \tau_1, \tau_2) is the smoothed quantile periodogram.

Usage

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

Arguments

object	SmoothedPG 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-SmoothedPG.

Value

Returns data from the array values that's a slot of object.

See Also

An example on how to use this function is analogously to the example given in getValues-QuantilePG.

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