R: Frequency Response Function (Multiple Channel)

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, iovar=NULL)

Arguments

`y`	a multivariate time series.
`lag`	maximum lag. Default is 2sqrt(n)*, where n is the number of rows in `y`.
`iovar`	input variables (`iovar[i], i=1,k`) and output variable (`iovar[k+1]`) (1<=i<=d), where d is the number of columns in `y`. Default is c(1:d).

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)

[Package timsac version 1.3.5 Index]