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]