[R] How to interpret the phase spectrum?

[Peter Dalgaard]

sdlywjl666 wrote:
> Dear all, 
> I would like to know whether positive or negative values of the phase spectrum indicate that the time series leads or lags.
>     In my work, x and y have peak nearly at the same frequency,(eg:f=1/56);and the coherency is peak where f=1/56,the phase is 0.5 where f=1/56.
>     Can I get the conclusion that x lead y 0.5*56=28 at the frquency f=1/56?
> if not,how can I compute the lag/lead by phase and frequency.

Are you referring to a particular piece of software?

As far as I know, this is completely dependent on choice of notation, so
the question really only makes sense in a specified context. In the
cases I remember seeing (I'm no time series expert, though), the phase
is an _angle_ between 0 and 2*pi or between -pi and +pi, or sometimes in
degrees, but I suppose it could be scaled to (-1 , 1) or (0, 1) as well.
Also lead/lag for cyclic functions is a matter of convention; in
particular, there's no difference between leading and lagging by half a
cycle.


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