Rssa (version 0.11)

calc.v: Calculate Factor Vector(s)

Description

Generic function for the factor vector calculation given the SSA decomposition.

Usage

## S3 method for class '1d.ssa':
calc.v(x, idx, \dots)
## S3 method for class 'toeplitz.ssa':
calc.v(x, idx, \dots)
## S3 method for class 'mssa':
calc.v(x, idx, \dots)
## S3 method for class '2d.ssa':
calc.v(x, idx, \dots)

Arguments

x

SSA object holding the decomposition.

idx

indices of the factor vectors to compute.

...

additional arguments to 'calc.v'.

Value

• A numeric vector of suitable length (usually depends on SSA method and window length).

Details

Factor vector is a column of the factor matrix V, which is calculated as follows: $$V = \Sigma^{-1} X^{T} U,$$ where X is a Hankel trajectory matrix, U is the matrix of eigenvectors and Sigma is a matrix of singular values.

Examples

# Decompose 'co2' series with default parameters
s <- ssa(co2)
# Calculate the 5th factor vector
v <- calc.v(s, 5)