[R] squared coherency and cross-spectrum
Ling Jin
ljin at lbl.gov
Thu Dec 1 18:32:43 CET 2005
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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