[R] Coverage probability for the normal distribution in "plot.spec.coherency" function.

Pascal Oettli oettli at eps.s.u-tokyo.ac.jp
Wed Feb 29 07:11:55 CET 2012

Hello to the members of the list,

I am using the 'spectrum' function from 'stats' package, to calculate 
the squared coherency between two time series. The function 
'plot.spec.coherency' provides information for the coverage probability 
for the normal distribution.

It seems that the calculation is based on Enochson and Goodman, 1965, 
"Gaussian approximations to the distribution of sample coherence". 
AFFDL-TR-65-57, Whright-Patterson Air Force base.

Could someone tell me if this reference was really used or another one?

In advance, thank you.


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