sglfre {timsac}

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), 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")
sglfre(y, lag = 20, invar = 1, outvar = 2)