Chapter 3 software
The main software tool used in chapter 3 is that for computing the smoothed spectrum of a multivariate time series. The MATLAB program in the file mtsmoothspec.m forms this spectrum and derived quantities such as the squared coherency and partial coherency, gain, phase and lagged response coefficients. The documentation of the program is given in mtsmoothspec.pdf. The example file SpecGasFurnace.m reads the data set GasFurnace.txt and plots the resulting spectral properties, one of which is reproduced below.
Further information about the computational algorithms and spectral theory underlying this function are to be found in the chapter 3 sections of the Algorithms/Technical and Derivations/Proofs pages.