mulfrf {timsac}R Documentation

Frequency Response Function (Multiple Channel)

Description

Compute multiple frequency response function, gain, phase, multiple coherency, partial coherency and relative error statistics.

Usage

 mulfrf(y, lag=NULL, niv, iovar=c(1:(niv+1)))

Arguments

y a multivariate time series.
lag maximum lag. Default is 2*sqrt(n), where n is the length of the time series y.
niv number of input variables.
iovar input and output variables. iovar(i)-th variables (1<=i<=niv) are input variables and iovar(niv+1)-th variable is output variable.

Value

cospec spectrum (complex).
freqr frequency response function : real part.
freqi frequency response function : imaginary part.
gain gain.
phase phase.
pcoh partial coherency.
errstat relative error statistics.
mcoh multiple coherency.

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")
  mulfrf(y, lag=20, niv=2)

[Package timsac version 1.2.1 Index]