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Coherence

Purpose
Description
Macro Synopsis
Modules
Related Functions


Purpose

Coherence

Description

"Coherence" computes the coherence of two signals x1 and x2 according to

with being the power spectrum of the respective signal and being the cross power spectrum of the two signals.

The coherence values range from 0 to 1, giving a measure of the stochastic coupling of the two signals within a certain frequency band. Uncorrelated signals will yield coherence values of 0 (also referred to as incoherence), whereas the more two signals are correlated, the more the coherence will increase. Note that y(0) is suppressed in order to avoid its large values dominating the result.

Coherence is a macro implementation using the functions Power spectrum and Cross power spectrum.

Warning: Note that if the input signals have different x-axis scales (sampling periods), the signal with the largest scale will be adapted automatically by interpolating between successive sample points. The type of interpolation can be set in the Basic Options menu.


Macro Synopsis

y = Coherence(x1,x2);
signal x1,x2,y;

Modules

Spectral

Related Functions

Momentary ARMA coherence, Power spectrum, Cross power spectrum.