COEFFICIENT OF COHERENCE IN THE CASE OF 2 VECTOR RANDOM-PROCESSES

A general method for estimating coherence and phase cross-spectra of v ector random processes is described, and illustrated by examples. It i s shown that the coherence matrix for two vector random processes with arbitrary dimension is the Hermitian matrix, which can be transformed to a diagonal form with real eigenvalues. For two-dimensional process es, the greater eigenvalue characterises the coherence between compone nts of analysed vectors with respect to the direction of minimum noise variance, and the lesser value corresponds to the direction of maximu m noise variance. (C) 1997 Elsevier Science Ltd.