freqdom.ratio: Compute a ratio of two spectral densities

In freqdom: Frequency Domain Analysis for Multivariate Time Series

Description

For given spectral densities S and SC computes ratio SC %*% S^{-1} at each frequency.

Usage

freqdom.ratio(SC, S, n = NULL, K = NULL, Kconst = NULL)

Arguments

SC	first spectral density
S	second spectral density (square)
n	number of observations used for estimation - the precision of inversion is calculated using this parameter
K	for inversion as in freqdom.inverse
Kconst	used for heuristing in reg.dim.est

Value

Frequency Domain Operator object

See Also

reg.dim.est, freqdom.product, freqdom.inverse

Examples

n = 100
X = rar(n)
Y = rar(n)
SYX = spectral.density(X,Y)
SXX = spectral.density(X)
R = freqdom.ratio(SYX,SXX,n)

freqdom documentation built on May 2, 2019, 5:55 p.m.