Cross-spectrum Analysis - Cross-periodogram, Cross-Density, Quadrature-density, Cross-amplitude
Analogous to the results for the single variables, the complete summary spreadsheet will also display periodogram values for the cross periodogram. However, the cross-spectrum consists of complex numbers that can be divided into a real and an imaginary part. These can be smoothed to obtain the cross-density and quadrature density (quad density for short) estimates, respectively. (The reasons for smoothing, and the different common weight functions for smoothing are discussed in Single Spectrum (Fourier) Analysis.) The square root of the sum of the squared cross-density and quad-density values is called the cross-amplitude. The cross-amplitude can be interpreted as a measure of covariance between the respective frequency components in the two series. Thus we can conclude from the results shown in the table above that the .0625 and .1875 frequency components in the two series covary.