Title :
Statistical properties of coherence and power contribution ratios via multivariate autoregressive modeling
Author :
Sakai, Hideaki ; Tokumaru, Hidekatsu
Author_Institution :
Kyoto University, Kyoto, Japan
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;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '85.
DOI :
10.1109/ICASSP.1985.1168338
