Re: [Gretl-devel] xcorrgm and pergm
Ignacio Diaz-Emparanza schrieb:
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.
Well it depends on what you want. I wanted to treat the inputs as
separate univariate series. But you're right that there is an ambiguity
there, and possibly in the future one may want to extend the pergm()
function to do the multivariate periodogram.
So I withdraw that request.
thanks,
sven