Re: [Gretl-devel] xcorrgm and pergm
El mar, 16-02-2010 a las 13:41 -0500, Allin Cottrell escribió:
On Tue, 16 Feb 2010, Sven Schreiber wrote:
> not sure what the current status is of corrgm and xcorrgm: xcorrgm is
> missing in the function reference, but mentioned recently in the
> changelog. OTOH, doesn't the third optional parameter of corrgm cover
> the xcorrgm case? I know we had a discussion about that API, but I don't
> remember the outcome.
There are two distinct _commands_, corrgm and xcorrgm, but there's
only one _function_, corrgm(), that combines the two cases.
> W.r.t. pergm I have a feature request: would it be possible to allow a
> matrix argument to get the periodograms/spectra of all columns of the
> matrix at once?
But the periodogram/spectra of a multiple time series is, for each
frequency, a matrix, not just a vector. For example if we have a vector
with Xt and Yt, the periodogram at a given frequency is a matrix with
the univariate periodogram entry of Xt, the univariate periodogram entry
of Yt and the cross-periodogram.
I do not have at hand any reference about multivariate spectral
analysis. I remember the following book was talking about that in some
chapter, but I think some of you may have any other better reference.
Lütkepohl (1987) Forecasting aggregated vector ARMA processes.
Springer-verlag. Berlin.
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
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