[R] squared coherency and cross-spectrum

Kjetil Brinchmann Halvorsen kjetilbrinchmannhalvorsen at gmail.com
Tue Dec 6 05:44:11 CET 2005

Spencer Graves wrote:
> 	  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?

Although the question is not to me,I try to answer,as I am planning to 
try to use this techniques!  What I hope to get from them is on what 
time scale to time series is correlated, or more succinctly, the high 
frequency variation we can se in both series (ground and sattelite 
measurement of same phenomenon), are they correlated?


> 	  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
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