[R] squared coherency and cross-spectrum

From: Ling Jin <ljin_at_lbl.gov>
Date: Fri 02 Dec 2005 - 04:32:43 EST


Hi All,

I have two time series, each has length 354. I tried to calculate the coherency^2 between them, but the value I got is always 1. On a website, it says: " Note that if the ensemble averaging were to be omitted, the coherency (squared) would be 1, independent of the data". Does any of you know how to specify properly in R in order to get more useful coherency? The examples in the help do give coherencies that are not 1s, but I did not notice any special specification.

Next question is on co-spectrum. When I supply "spectrum" function with multiple time series, it only gives me spectrum (smoothed periodogram) of individual time series. Is there any way I can get the cross-spectrum? I believe R has calculated it, but I could not find in the returned values.

Attached is the smoothed periodogram of the two time series.

Thanks a lot!

Ling



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test.spectrum.png
Received on Fri Dec 02 05:33:36 2005

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