Rssa (version 0.8.2)

hbhmat: Hankel with Hankel block matrices operations.

Description

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

Usage

new.hbhmat(F, L = (N - 1) %/% 2)
is.hbhmat(h)
hbhcols(h)
hbhrows(h)
hbhmatmul(hmat, v, transposed = FALSE)

Arguments

F

series to construct the trajectory matrix for.

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 Transforms provides a very efficient matrix-vector multiplication routine for Hankel with Hankel blocks 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