Rssa (version 0.8.2)

decompose: Calculate SSA decomposition of the series

Description

Performs the SSA decomposition of the series.

Usage

## S3 method for class 'ssa':
decompose(x, neig = min(50, L, K), ...)

Arguments

x

SSA object holding the decomposition.

neig

number of desired eigentriples.

...

additional arguments passed to SVD routines.

Value

• The SSA object.

Details

This is the main function which does the decomposition of the series trajectory matrix. Depending on the SVD method selected in the new.ssa different SVD implementations are called. This might be the ordinary full SVD routines or fast methods which exploit the Hankel / Toeplitz / Hankel with Hankel blocks matrix structure and allow the calculation of first few eigentriples.

Some SVD methods support continuation of the decomposition: if the 'ssa' object already holds some decomposition and more eigentriples are requested, then the decomposition continues using the current values as a starting point reducing the computation time dramatically.

See Also

svd, new.ssa

Examples

# Decompose 'co2' series with default parameters and decomposition turned off.
s <- new.ssa(co2, force.decompose = FALSE)
# Perform the decomposition
decompose(s, neig = 50)
# Continue the decomposition
decompose(s, neig = 100)