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 -------------- next part -------------- A non-text attachment was scrubbed... Name: test.spectrum.png Type: image/png Size: 4596 bytes Desc: not available Url : https://stat.ethz.ch/pipermail/r-help/attachments/20051201/1beca4ef/test.spectrum.png
squared coherency and cross-spectrum
4 messages · Ling Jin, Spencer Graves, Kjetil Halvorsen
4 days later
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
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? Kjetil
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
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. Ling
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 ------------------------------------------------------------------------ ------------------------------------------------------------------------
______________________________________________ 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