distance_matrix_RGPDC {AnomalyScore} | R Documentation |
Pairwise distance matrix based on the restricted generalized partial directed coherence
Description
Pairwise distance matrix of a multivariate time series based on the the restricted generalized partial directed coherence distance between two series
Usage
distance_matrix_RGPDC(unit, pmax, period)
Arguments
unit |
A matrix representing a multivariate time series where each column is a univariate time series. |
pmax |
maximum order(lag) of the VAR model to be considered |
period |
Integer referencing the index of the frequency to use for the distance. It gives the Hertz or periods per unit of time; i.e., if the sampling is per minute, and each hour cycle is the period of interest |
Value
a matrix with pairwise distances
See Also
Siggiridou, Elsa, Vasilios K. Kimiskidis, and Dimitris Kugiumtzis. "Dimension Reduction of Frequency-Based Direct Granger Causality Measures on Short Time Series." Journal of Neuroscience Methods 289 (September 2017) : 64-74. doi:10.1016/j.jneumeth.2017.06.021
Examples
X=matrix( rnorm(2000), ncol=10 )
pmax=4
period=3
distance_matrix_RGPDC(unit=X, pmax, period)