In Statistica one can do a "two series"/bivariate/cross spectrum Fourier analysis to examine the coherency, gain, and phase spectrum across a pair of signals. It is probably a failing on my part, but my attempts to use those search terms to come up with similar values from R have come up blank. What functions/packages should I review in more detail? Can you provide some simple examples?
The same familiar spectrum instruction yields cross-spectra. coherency and phase when used on a bivariate time series. Look at this sample code.
We only need now to plot coherency and phase. I find it useful to align them one below the other with
and then do the plots: