mBTSRGPDC {AnomalyScore} | R Documentation |
Restricted Generalized Partial Directed Coherence
Description
partial directed coherence matrix values based on the mBTS algorithm for estimation of the VAR parameters
Usage
mBTSRGPDC(xM, pmax, freqs)
Arguments
xM |
the matrix of K time series (variables in columns) |
pmax |
maximum order(lag) of the VAR model to be considered |
freqs |
frequencies at which the spectral density is estimated |
Value
the matrix of all the Restricted Generalized Partial Directed Coherence index across the series of a multivariate set. #'
[Package AnomalyScore version 0.1 Index]