mulfrf {timsac}

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 \le k \le 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)