sglfre {timsac} | R Documentation |
Frequency Response Function (Single Channel)
Description
Compute 1-input,1-output frequency response function, gain, phase, coherency and relative error statistics.
Usage
sglfre(y, lag=NULL, invar, outvar)
Arguments
y |
a multivariate time series. |
lag |
maximum lag. Default is 2*sqrt(n), where n is the length of the time series y. |
invar |
within d variables of the spectrum, invar-th variable is taken as an input variable. |
outvar |
within d variables of the spectrum, outvar-th variable is taken as an output variable . |
Value
inspec |
power spectrum (input). |
outspec |
power spectrum (output). |
cspec |
co-spectrum. |
qspec |
quad-spectrum. |
gain |
gain. |
coh |
coherncy. |
freqr |
frequency response function : real part. |
freqi |
frequency response function : imaginary part. |
errstat |
relative error statistics. |
phase |
phase. |
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),3,3,byrow=TRUE)
ar[,,2] <- matrix(c(0, -0.3, 0.5,
0.7, -0.4, 1,
0, -0.5, 0.3),3,3,byrow=TRUE)
x <- matrix(rnorm(200*3),200,3)
y <- mfilter(x,ar,"recursive")
sglfre(y, lag=20, invar=1, outvar=2)
[Package
timsac version 1.2.1
Index]