On Sep 2, 2010, at 1:00 AM, aftar wrote:


Hi

Is anyone know how could I find the cross spectrum?

from the spectrum function, it only give the spectrum for each individual
series.

I read the manual very differently. It is telling me that you _do_ get cross spectrum results in the "coh" matrix:

"VALUE
coh NULL for univariate series. For multivariate time series, a matrix containing the squared coherency between different series. Column i + (j - 1) * (j - 2)/2 of coh contains the squared coherency between columns i and j ofx, where i < j."

And there is a link on that help page to a help page that includes the plot.spec.coherency function.

This response from Prof Ripley (very easily found on an RSiteSearch search for "cross spectrum") has a further link to a supplement to V&R4:
http://finzi.psych.upenn.edu/Rhelp10/2009-November/219526.html

http://www.stats.ox.ac.uk/pub/MASS4/VR4stat.pdf

... which discusses coherency and illustrates processing of the "coh" object.
--

David Winsemius, MD
West Hartford, CT

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Reply via email to