sigex.spectra: Computes scalar part of spectrum of a differenced latent...

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes scalar part of spectrum of a differenced latent multivariate component process

Description

Computes scalar part of spectrum of a differenced latent multivariate component process

Usage

sigex.spectra(L.par, D.par, mdl, comp, mdlPar, delta, grid)

Arguments

L.par	Unit lower triangular matrix in GCD of the component's white noise covariance matrix.
D.par	Vector of logged entries of diagonal matrix in GCD of the component's white noise covariance matrix.
mdl	The specified sigex model, a list object
comp	Index of the latent component
mdlPar	This is the portion of param corresponding to mdl[[2]], cited as param[[3]]
delta	Differencing polynomial written in format c(delta0,delta1,...,deltad)
grid	Desired number of frequencies for output spectrum

Value

f.spec: array of dimension N x N x (grid+1), consisting of spectrum at frequencies pi*j/grid for 0 <= j <= grid

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.