• DocumentCode
    2994015
  • Title

    Statistical properties of coherence and power contribution ratios via multivariate autoregressive modeling

  • Author

    Sakai, Hideaki ; Tokumaru, Hidekatsu

  • Author_Institution
    Kyoto University, Kyoto, Japan
  • Volume
    10
  • fYear
    1985
  • fDate
    31138
  • Firstpage
    628
  • Lastpage
    631
  • Abstract
    After a review of the statistical properties of multivariate autoregressive (MAR) spectral analysis method, we derive the asymptotic distributions of coherence and power contribution ratios obtained by MAR modeling. Then, using the results, we devise a statistical test about the causality relations between variates. Finally we apply the test to simulation and actual data to see the validity of the present analysis.
  • Keywords
    Analytical models; Coherence; Covariance matrix; Estimation error; Mathematical model; Mathematics; Physics; Power engineering and energy; Spectral analysis; Testing;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '85.
  • Type

    conf

  • DOI
    10.1109/ICASSP.1985.1168338
  • Filename
    1168338
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2994015