[R] squared coherency and cross-spectrum

Ling Jin ljin at lbl.gov
Thu Dec 1 18:32:43 CET 2005

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!


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