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 2*sqrt(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]