Rssa (version 0.8.2)

wcor: Calculate the W-correlation matrix

Description

Function calculates the W-correlation matrix for the series.

Usage

## S3 method for class 'ssa':
wcor(X, groups, \dots, cache = TRUE)
## S3 method for class 'default':
wcor(X, L = (N + 1) %/% 2, ...)

Arguments

X

the input object. This might be ssa object for ssa method, or just a matrix with elementary series in columns for default implementation.

L

window length.

groups

list of numeric vectors, indices of elementary subseries used for reconstruction.

...

further arguments passed to reconstruct routine.

cache

logical, if 'TRUE' then intermediate results will be cached in 'ssa' object.

Value

• Object of type 'wcor.matrix'.

Details

W-correlation matrix is a standard way of checking for weak separability between the elementary time series (see Golyandina et all, 2001 for more information). The function calculates such a matrix either directly from 'ssa' object or from the matrix of elementary series.

References

Golyandina, N., Nekrutkin, V. and Zhigljavsky, A. (2001): Analysis of Time Series Structure: SSA and related techniques. Chapman and Hall/CRC. ISBN 1584881941

See Also

reconstruct

Examples

# Decompose co2 series with default parameters
s <- new.ssa(co2)
# Calculate the w-correlation matrix between first 10 subseries
w <- wcor(s, groups = 1:10)
print(w)
plot(w)