Peri function

Multivariate Periodogram.

Peri calculates the periodogram of a multivariate time series.

Peri(X)

Arguments

• X: (Txq) data matrix.

Details

Returns an array of dimension c(q,q,floor(T/2)).

Examples

series<-FI.sim(T=1000,q=2,rho=0.7,d=c(0.4,0.4))
peri<-Peri(series)
par(mfrow=c(2,2))
for(i in 1:2){
for(j in 1:2){
plot(Re(peri[i,j,]), type="h")
lines(Im(peri[i,j,]), col=2)
}}