mBTS_Af_mat {AnomalyScore} | R Documentation |
mBTS Vector Autoregressive coefficients fourier transform
Description
DFT Vector Autoregressive coefficients matrix using the mBTS algorithm. This matrix is the base to compute the generalized partial directed coherence
Usage
mBTS_Af_mat(xM, responseindex, pmax, freqs)
Arguments
xM |
the matrix of K time series (variables in columns) |
responseindex |
the index of the response variable in |
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]