bispeces function

bispeces performs indirect bivariate spectral estimation of two series y1, y2 using lagwindows

bispeces(y1, y2, q, win = "bartlett")

Arguments

• y1: vector, the first time series
• y2: vector, the second time series
• q: number of covariances used for indirect spectral estimation
• win: lagwindow (possible: "bartlett", "parzen", "tukey")

Returns

out data frame with columns: - f: frequencies 0, 1/n, 2/n, ... (<= 1/2 )

• coh: estimated coherency at Fourier frequencies 0,1/n, ...

• ph: estimated phase at Fourier frequencies 0,1/n, ...

Examples

data(ICECREAM)
y <- ICECREAM
out <- bispeces(y[,1],y[,2],8,win="bartlett")