[R] squared coherency and cross-spectrum

Ling Jin ljin at lbl.gov
Tue Dec 6 07:54:07 CET 2005

Thanks for the information. I tried to use coherency to look at 
correlations of two time series at different time scales. More 
specifically, on what time scale, my model predictions are more coherent 
with the observed values.


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?
>       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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