ftsa (version 6.0)

MAF_multivariate: Maximum autocorrelation factors

Description

Dimension reduction via maximum autocorrelation factors

Usage

MAF_multivariate(data, threshold)

Arguments

data

A p by n data matrix, where p denotes the number of variables and n denotes the sample size

threshold

A threshold level for retaining the optimal number of factors

Value

MAF

Maximum autocorrelation factor scores

MAF_loading

Maximum autocorrelation factors

Z

Standardized original data

recon

Reconstruction via maximum autocorrelation factors

recon_err

Reconstruction errors between the standardized original data and reconstruction via maximum autocorrelation factors

ncomp_threshold

Number of maximum autocorrelation factors selected by explaining autocorrelation at and above a given level of threshold

ncomp_eigen_ratio

Number of maximum autocorrelation factors selected by eigenvalue ratio tests

References

M. A. Haugen, B. Rajaratnam and P. Switzer (2015). Extracting common time trends from concurrent time series: Maximum autocorrelation factors with applications, arXiv paper https://arxiv.org/abs/1502.01073.

See Also

ftsm

Examples

# NOT RUN {
MAF_multivariate(data = pm_10_GR_sqrt$y, threshold = 0.85)
# }