basis.poly: A function to decompose multivariate data on a polynomial basis
Description
The basis.poly function decomposes a multivariate data set on a polynomial basis.
Usage
basis.poly(simuls, basis.args = list(degree = 3))
Arguments
simuls
a data.frame of size N x T, typically a set of N simulation outputs of length T.
basis.args
a list of arguments for the polynomial decomposition. The degree argument is the maximum degree of the polynomial basis. For the optional x.coord argument, see the Details section.
Value
H
a data.frame of size N x (d+1), where d is the degree of the polynomial decomposition. It contains the coefficients of the decomposition for each row of the simuls data.frame.
L
a matrix of size T x (d+1). It contains the vectors of the polynomial basis.
call.info
list with the element reduction="polynomial"
Details
This function uses poly. The optional x.coord element of the list in basis.args can be used to specify the support of the polynomial decomposition, if different from 1:T. It must be a vector of length T.