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 ].

See also

var2trfun | sfreqs