R: how to estimate multidimensional spectral measure of coherence
Look at the function wco to see if you can use it. I don't have R on my work computer right now to test and see, but AI think you could look at this. I don't know what a slidding window is, but wavelets are time localized so I don't think this would be a problem. Also, you could easily slide the time series with lag. I don't know if this helps. stephen sefick
On Mon, Mar 23, 2009 at 11:22 AM, <mauede at alice.it> wrote:
Does it work on a sliding window ? Does it estimate the cospectrum (the real part) and the quadrature spectrum (complex), the coherence squared, and the phase difference between two vector time series ? SOme time ago I started to read its author's thesis. It seemed to me strictly tailored on the specific problems he studied more than a wider purpose toolkit. Maura have you tried sowas?? I know you had talked about it, but it may do what you want.? I have used it for the wavelet cross spectrum. On Mon, Mar 23, 2009 at 9:47 AM,? <mauede at alice.it> wrote:
Please, does anyone know of an R packge to estimate multidimensional spectral measure of coherence within a moving time window ? Some time ago I expeimented with a similar package that performs Cross Spectrum Analysis on the whole signal though. Unluckily I deal with non-stationary signals whose properties change along with time. Therefore estimates can only be made over time periods roughly proportional to the reciprocal of the rate at which properties are changing. Thank you very much. Maura tutti i telefonini TIM! ? ? ? ?[[alternative HTML version deleted]]
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Stephen Sefick Let's not spend our time and resources thinking about things that are so little or so large that all they really do for us is puff us up and make us feel like gods. We are mammals, and have not exhausted the annoying little problems of being mammals. -K. Mullis