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]