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]