descomponer (version 1.6)

cdf: Get Auxiliary Matrix

Description

Gets the auxiliary matrix to vector in time domain, pre-multiplies the vector by the orthogonal matrix,W, and its transpose, Parra F. (2013)

Usage

cdf(y)

Arguments

y

a vector of the observed time-serie values

Value

a matrix of sine and cosine waves adjusted to time-serie

References

Harvey, A.C. (1978), Linear Regression in the Frequency Domain, International Economic Review, 19, 507-512.

Parra, F. (2014), Amplitude time-frequency regression, (http://econometria.wordpress.com/2013/08/21/estimation-of-time-varying-regression-coefficients/)

Examples

# NOT RUN {
n<-100;x<-seq(0,24*pi,length=n);y<-sin(x)+rnorm(n,sd=.3)
cdf(y)
# }
# NOT RUN {
<!-- % Add one or more standard keywords, see file 'KEYWORDS' in the -->
# }
# NOT RUN {
<!-- % R documentation directory. -->
# }