var_to_cpsd
Calculate cross-power spectral density and transfer function from VAR parameters
Syntax
[S,H] = var_to_cpsd(A,SIG,fres)
Arguments
See also Common variable names and data structures.
input
A VAR coefficients matrix SIG residuals covariance matrix fres frequency resolution
output
S cross-power spectral density (cpsd) matrix H VAR transfer function matrix
Description
Calculates cross-spectral density S and transfer function H of VAR process with coefficients matrix A and residuals covariance matrix SIG. fres specifies the frequency resolution. Call freqs = sfreqs(fres,fs), where fs is the sampling rate, to get a corresponding vector freqs of frequencies on [0,fs/2].
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 ].