Returns quantile coherency defined as $$\frac{G^{j_1, j_2}(\omega; \tau_1, \tau_2)}{(G^{j_1, j_1}(\omega; \tau_1, \tau_1) G^{j_2, j_2}(\omega; \tau_2, \tau_2))^{1/2}}$$ where \(G^{j_1, j_2}(\omega; \tau_1, \tau_2)\) is the smoothed quantile periodogram.
# S4 method for SmoothedPG
getCoherency(
object,
frequencies = 2 * pi * (0:(lenTS(object@qPG@freqRep@Y) -
1))/lenTS(object@qPG@freqRep@Y),
levels.1 = getLevels(object, 1),
levels.2 = getLevels(object, 2),
d1 = 1:(dim(object@values)[2]),
d2 = 1:(dim(object@values)[4])
)Returns data from the array values that's a slot of
object.
SmoothedPG of which to get the values
a vector of frequencies for which to get the values
the first vector of levels for which to get the values
the second vector of levels for which to get the values
optional parameter that determine for which j1 to return the data; may be a vector of elements 1, ..., D
same as d1, but for j2
For the mechanism of selecting frequencies, dimensions and/or levels see,
for example, getValues-SmoothedPG.
An example on how to use this function is analogously to the example given in
getValues-QuantilePG.