[R] squared coherency and cross-spectrum

[Spencer Graves]

	  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 
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/37640.html). 
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 
cross-correlations?

	  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