Rssa (version 0.11)

hmat: Hankel matrices operations.

Description

A set of routines to operate on Hankel matrices stored in compact FFT-based form.

Usage

new.hmat(F, L = (N + 1) %/% 2, fft.plan = NULL)
is.hmat(h)
hcols(h)
hrows(h)
hmatmul(hmat, v, transposed = FALSE)

Arguments

F

series to construct the trajectory matrix for.

fft.plan

internal hint argument, should be NULL in most cases

L

the window length.

h, hmat

matrix to operate on.

transposed

logical, if 'TRUE' the multiplication is performed with the transposed matrix.

v

vector to multiply with.

Details

Fast Fourier Transform provides a very efficient matrix-vector multiplication routine for Hankel matrices. See the paper in 'References' for the details of the algorithm.

References

Korobeynikov, A. (2010) Computation- and space-efficient implementation of SSA. Statistics and Its Interface, Vol. 3, No. 3, Pp. 257-268

Examples

# Construct the Hankel trajectory matrix for 'co2' series
h <- new.hmat(co2, L = 10)
# Print number of columns and rows
print(hrows(h))
print(hcols(h))