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MvarModel

Namespace: CONNECTIVITYLIB  ·  Library: Connectivity Library

#include <connectivity/mvar_model.h>

class CONNECTIVITYLIB::MvarModel

Multivariate autoregressive (MVAR) model fit and its frequency-domain decomposition into transfer function H(f) and spectral matrix S(f).

The model order p is either supplied by the caller or selected automatically by Bayesian Information Criterion over ``[1, 20]; the coefficient matrices are estimated by Levinson-Durbin recursion on the Yule-Walker equations. The resulting H and S are consumed by the three directed-connectivity metrics in this library (Granger Causality, DTF, PDC) and are exposed via transferFunction and spectralMatrix at arbitrary normalised frequencies.

MVAR model fit; provides H(f) and S(f) for Granger Causality, DTF and PDC.

Public Methods​

MvarModel()​

Constructs a default MvarModel object.

fit(data, p)​

Fits an MVAR model of order p to multi-channel data.

Parameters:

  • data : const Eigen::MatrixXd & The input data matrix (nChannels x nSamples).

  • p : int The model order. If 0, the order is auto-selected via BIC.

coefficients()​

Returns the fitted coefficient matrices A_1 .

. A_p (each nChannels x nChannels).

Returns:

  • QVector< Eigen::MatrixXd > — The MVAR coefficient matrices.

noiseCov()​

Returns the noise covariance matrix (nChannels x nChannels).

Returns:

  • Eigen::MatrixXd — The noise covariance matrix.

order()​

Returns the fitted model order.

Returns:

  • int — The model order p.

transferFunction(freqs)​

Computes the transfer function H(f) at the given normalized frequencies.

H(f) = (I - sum_{k=1}^{p} A_k * exp(-2piifk))^{-1}

Parameters:

  • freqs : const Eigen::VectorXd & Vector of normalized frequencies in [0, 0.5].

Returns:

  • QVector< Eigen::MatrixXcd > — Vector of nChannels x nChannels complex matrices, one per frequency.

spectralMatrix(freqs)​

Computes the spectral matrix S(f) = H(f) * Sigma * H(f)^H.

Parameters:

  • freqs : const Eigen::VectorXd & Vector of normalized frequencies in [0, 0.5].

Returns:

  • QVector< Eigen::MatrixXcd > — Vector of nChannels x nChannels complex matrices, one per frequency.

Authors of this file​