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<=k<=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), nrow = 3, ncol = 3, byrow = TRUE)
    ar[, , 2] <- matrix(c(0,  -0.3,  0.5,
                          0.7, -0.4,  1,
                          0,   -0.5,  0.3), nrow = 3, ncol = 3, byrow = TRUE)
    x <- matrix(rnorm(200*3), nrow = 200, ncol = 3)
    y <- mfilter(x, ar, "recursive")
    mulfrf(y, lag = 20)

[Package timsac version 1.3.6 Index]