bispeces: 'bispeces' performs indirect bivariate spectral estimation of...

In tsapp: Time Series, Analysis and Application

Description

bispeces performs indirect bivariate spectral estimation of two series y1, y2 using lagwindows

Usage

bispeces(y1, y2, q, win = "bartlett")

Arguments

y1	vector, the first time series
y2	vector, the second time series
q	number of covariances used for indirect spectral estimation
win	lagwindow (possible: "bartlett", "parzen", "tukey")

Value

out data frame with columns:

f	frequencies 0, 1/n, 2/n, ... (<= 1/2 )
coh	estimated coherency at Fourier frequencies 0,1/n, ...
ph	estimated phase at Fourier frequencies 0,1/n, ...

Examples

data(ICECREAM)
y <- ICECREAM
out <- bispeces(y[,1],y[,2],8,win="bartlett") 

tsapp documentation built on Oct. 30, 2021, 5:08 p.m.