[R] squared coherency and cross-spectrum

Spencer Graves spencer.graves at pdf.com
Tue Dec 6 05:35:37 CET 2005

	  I haven't seen a reply, so I will comment even though I've never used 
"coherency" / "coherence" nor "spectrum".  RSiteSearch("coherence") 
produced 13 hits, the third of which looked like it might be relevant to 
your question 
RSiteSearch("coherency") produced 12 hits, at least some of which look 
like they might help you.  In my cursory review, it looked like at least 
one of the "coherence" / "coherency" hits also mentioned the 
co-spectrum.  Whether that's true or not, the examples with "?spectrum" 
includes the statement, "for multivariate examples see the help for 
spec.pgram".  If you still have a question for this listserve after 
reviewing these references, PLEASE do read the posting guide! 
'www.R-project.org/posting-guide.html'.  I believe that people who 
follow more closely that posting guide tend to receive quicker, more 
useful answers than those who don't.

	  I hope you won't mind if I now ask you a question:  What can you get 
from "coherency" and "co-spectrum" that you can't get as easily from 
autocorrelation and partial autocorrelation functions, including the 

	  hope this helps.
	  spencer graves

Ling Jin wrote:

> 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!
> Ling
> ------------------------------------------------------------------------
> ------------------------------------------------------------------------
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves at pdf.com
www.pdf.com <http://www.pdf.com>
Tel:  408-938-4420
Fax: 408-280-7915

More information about the R-help mailing list