Rssa (version 1.0)

calc.v: Calculate Factor Vector(s)

Description

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

Usage

# S3 method for ssa
calc.v(x, idx, …)
# S3 method for cssa
calc.v(x, idx, …)

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.

See Also

Rssa for an overview of the package, as well as, ssa-object, ssa, decompose,

Examples

# NOT RUN {
# Decompose 'co2' series with default parameters
s <- ssa(co2)
# Calculate the 5th factor vector
v <- calc.v(s, 5)
# }