Greetings,
I would like to estimate a spectral coherence between
two timeseries. The stats : spectrum() returns a coh matrix
which estimates coherence (squared).
A basic test which from which i expect near-zero coherence:
x = rnorm(500)
y = rnorm(500)
xts = ts(x, frequency = 10)
yts = ts(y, frequency = 10)
gxy = spectrum( cbind( xts, yts ) )
plot( gxy $ freq, gxy $ coh )
yields a white spectrum of 1. Clearly i'm not using
this correctly... or i mis-interpret the coh as a cross-spectral
density estimate of coherence |Gxy|^2/(Gxx Gyy)
Thanks in advance!
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