cpsd_xform

Transform cross-power spectral density for reduced regression

Syntax

   SR = cpsd_xform(S,AR,SIGR)

Arguments

See also Common variable names and data structures.

input

   S          cross-power spectral density (cpsd) matrix
   AR         VAR coefficients matrix for reduced regression
   SIGR       residuals covariance matrix for reduced regression

output

   SR         transformed cpsd

Description

Returns the cpsd SR for a new variable defined as the residuals of a reduced regression, for a VAR with cpsd S. AR and SIGR are the coefficients matrices and residuals covariance matrix respectively of the reduced regression, which is is assumed to correspond to the first size(AR,1) indices of G.

References

[1] L. Barnett and A. K. Seth, The MVGC Multivariate Granger Causality Toolbox: A New Approach to Granger-causal Inference, J. Neurosci. Methods 223, 2014 [ preprint ].

See also

autocov_xform