matrix_PDC {AnomalyScore}R Documentation

Partial directed coherence matrix

Description

Partial directed coherence matrix

Usage

matrix_PDC(unit, ar)

Arguments

unit

A Matrix containing the multivariate time series. Each column represents a univariate time series.

ar

Integer vector containing all the lags considered for the vector autoregressive model

Value

An real array of dimensions, ncol(unit), ncol(unit), n, where n is the number of frequencies at which the PDC is estimated.

Examples

X=matrix( rnorm(2000), ncol=10  )
ar=c(1, 2)
matrix_PDC(X, ar)

[Package AnomalyScore version 0.1 Index]