.computeCoherency

C++ implementation to increase performance.

internals

Methods to determine, smooth and plot quantile periodograms for
univariate and multivariate time series. See Kley (2016) <doi:10.18637/jss.v070.i03>
for a description and tutorial.

Tobias Kley

quantspec

Quantile-Based Spectral Analysis of Time Series

Stefan Birr

.computeCoherency function

<dl><dt>V</dt>
<dd>a 3-dimensional array of complex numbers; dimensions are
<code>[N, K1, K2]</code>, where <code>N</code> frequencies are
\(\omega_j := 2\pi j/N\) for \(j=0,\ldots,N\).</dd>
<dt>W</dt>
<dd>a vector of length <code>W</code> of length <code>N</code> used for smoothing.</dd></dl>

Arguments

Workhorse function for getCoherency-SmoothedPG. — .computeCoherency

<dl>

<dt>V</dt>
<dd>a 3-dimensional array of complex numbers; dimensions are
<code>[N, K1, K2]</code>, where <code>N</code> frequencies are
\(\omega_j := 2\pi j/N\) for \(j=0,\ldots,N\).</dd>


<dt>W</dt>
<dd>a vector of length <code>W</code> of length <code>N</code> used for smoothing.</dd>

</dl>

.computeCoherency: Workhorse function for `getCoherency-SmoothedPG`.

Description

Value

Arguments

References