R: Frequency Response Function (Single Channel)

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 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` | coherency.
`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 1.3.5 Index]