cross.Peri: Cross periodogram of vector valued time series X and Y

In FunWithR/LongMemoryTS: Long Memory Time Series

Description

Calculates the cross periodogram of the vector valued time series X and Y.

Usage

cross.Peri(X, Y)

Arguments

X	data matrix.
Y	data matrix.

Examples

T<-500
d<-c(0.4, 0.2, 0.3)
data<-FI.sim(T, q=3, rho=0, d=d)
X<-data[,1:2]
Y<-data[,3]
cper<-cross.Peri(X, Y)
pmax<-max(Re(cper),Im(cper))
pmin<-min(Re(cper),Im(cper))
plot(Re(cper[1,,]), type="h", ylim=c(pmin,pmax))
lines(Im(cper[1,,]), col=2)
plot(Re(cper[2,,]), type="h", ylim=c(pmin,pmax))
lines(Im(cper[2,,]), col=2)

FunWithR/LongMemoryTS documentation built on May 12, 2019, 10:29 p.m.