Rssa (version 0.8.2)

tmat: Toeplitz matrices operations.

Description

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

Usage

new.tmat(F, L = (N - 1) %/% 2)
is.tmat(t)
tcols(t)
trows(t)
tmatmul(tmat, v, transposed = FALSE)

Arguments

F

series to construct the trajectory matrix for.

L

the window length.

t, tmat

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 Toeplitz 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 Toeplitz trajectory matrix for 'co2' series
h <- new.tmat(co2, 10)
# Print the number of columns and rows
print(trows(h)); print(tcols(h))