The Statistical Software spectrum - version 3.3 ©
Partialization analysis and graphical models for stochastic processes

The statistical software spectrum - version 3.3 allows to investigate the linear interrelations between the components of a multivariate time series. The program computes and plots oridinary and partialized second-order statistics in the frequency domain (partial spectra and partial coherences) and the time domain (partial correlations). The partial coherences allow the identification of the partial correlation graph of the multivariate process (e.g. Dahlhaus 2000). The partial statistics can also be used to identify directed dependencies (Dahlhaus et al. 1997, Eichler et al. 2000).

All graphics are formatted in PostScript and can be either displayed using e.g. ghostscript or printed by e.g. lpr.

Papers on the subject
R. Dahlhaus, M. Eichler, J. Sandkühler (1997). Identification of synaptic connections in neural ensembles by graphical models. Journal of Neuroscience Methods 77 93-107.
R. Dahlhaus (2000), Graphical Interaction Models for Multivariate Time Series, Metrika 51, 157-172.
J. Timmer, M. Lauk, B. Köster, B. Hellwig, S. Häußler, B. Guschlbauer, V. Radt, M. Eichler, G. Deuschl, C.H. Lücking (2000). Cross-spectral analysis of tremor time series. International Journal of Bifurcation and Chaos 10, 2595-2610..
M. Eichler, R. Dahlhaus, J. Sandkühler (2000), Partial correlation analysis for the identification of synaptic connections, to appear in Biological Cybernetics.
About the software

The software is implemented in C and requires an UNIX system. However, it is written device independent since all graphical results are formatted in PostScript and written in output files. For more details on the program please refer to the manual page.
There are two different versions, one for time series and one for point processes. Currently only the time series version is available online. The new point process version is in preparation. Please contact the author if you are interested in the software.

Where to get the software

The software is distributed via our anonymous ftp-server. Please feel free to copy it.

Spectrum (ts) Vers. 3.3: C source code of the time series version
Spectrum (pp) Vers. 3.3: C source code of the point process version

Any feedback on successful applications of the program is welcome.

Author of the software: Michael Eichler

Michael Eichler, October 2004