Dear R users, The confidence intervals for the squared coherence and phase, plotted by plot.spec.coherence() and plot.spec.phase, respectively, use the formulae 10.14 and 10.11 from Bloomfield, P. (1976) Fourier Analysis of Time Series: An Introduction. Wiley:
gg <- 2/x$df se <- sqrt(gg/2) z <- -qnorm((1 - ci)/2) coh <- sqrt(x$coh); (tanh(atanh(coh) + z * se))^2; # this is the 95% line for the coherence cl <- asin(pmin(0.9999, qt(ci, 2/gg - 2) * sqrt(gg * (coh^{ -2 } - 1)/(2 * (1 - gg))))); # this is for the phase Does somebody know how these formulae extend in case of calculating the cross-spectrum via K non-overlapping windows, i.e. via the Welch method? I would be very thankful if you could direct me to some literature. I tried finding something on the topic myself, but the information is only for the case when one smooths with spectral windows. Best regards, Martin ______________________________________________ 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.