mulfrf: Frequency Response Function (Multiple Channel)

In timsac: Time Series Analysis and Control Package

Frequency Response Function (Multiple Channel)

Description

Compute multiple frequency response function, gain, phase, multiple coherency, partial coherency and relative error statistics.

Usage

 mulfrf(y, lag = NULL, iovar = NULL)

Arguments

y	a multivariate time series.
lag	maximum lag. Default is 2 \sqrt{n}, where n is the number of rows in y.
iovar	input variables iovar[i] (i=1,k) and output variable iovar[k+1] (1 \le k \le d), where d is the number of columns in y. Default is c(1:d).

Value

cospec	spectrum (complex).
freqr	frequency response function : real part.
freqi	frequency response function : imaginary part.
gain	gain.
phase	phase.
pcoh	partial coherency.
errstat	relative error statistics.
mcoh	multiple coherency.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

ar <- array(0, dim = c(3,3,2))
ar[, , 1] <- matrix(c(0.4,  0,   0.3,
                      0.2, -0.1, -0.5,
                      0.3,  0.1, 0), nrow = 3, ncol = 3, byrow = TRUE)
ar[, , 2] <- matrix(c(0,  -0.3,  0.5,
                      0.7, -0.4,  1,
                      0,   -0.5,  0.3), nrow = 3, ncol = 3, byrow = TRUE)
x <- matrix(rnorm(200*3), nrow = 200, ncol = 3)
y <- mfilter(x, ar, "recursive")
mulfrf(y, lag = 20)

timsac documentation built on Sept. 30, 2023, 5:06 p.m.