Re: [R] squared coherency and cross-spectrum

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Tue 06 Dec 2005 - 15:35:37 EST

          I haven't seen a reply, so I will comment even though I've never used "coherency" / "coherence" nor "spectrum". RSiteSearch("coherence") produced 13 hits, the third of which looked like it might be relevant to your question
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/37640.html). RSiteSearch("coherency") produced 12 hits, at least some of which look like they might help you. In my cursory review, it looked like at least one of the "coherence" / "coherency" hits also mentioned the co-spectrum. Whether that's true or not, the examples with "?spectrum" includes the statement, "for multivariate examples see the help for spec.pgram". If you still have a question for this listserve after reviewing these references, PLEASE do read the posting guide! 'www.R-project.org/posting-guide.html'. I believe that people who follow more closely that posting guide tend to receive quicker, more useful answers than those who don't.

          I hope you won't mind if I now ask you a question: What can you get from "coherency" and "co-spectrum" that you can't get as easily from autocorrelation and partial autocorrelation functions, including the cross-correlations?

	  hope this helps.
	  spencer graves

Ling Jin wrote:

> 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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-- 
Spencer Graves, PhD
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Received on Tue Dec 06 15:41:33 2005

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