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FactorExtraction: Factor Extraction

Description

Extract factors from a data set of time series.

Usage

FactorExtraction(x = NULL, q = NULL, r = NULL, p = NULL, A = NULL,
  C = NULL, Q = NULL, R = NULL, initx = NULL, initV = NULL,
  ss = NULL, MM = NULL, n.prevs = NULL)

Arguments

x

Vintage transformada pela fun<U+00E7><U+00E3>o arrumarVintage

q

Dynamic rank. Number of error terms. If not specified q = 2.

r

Static rank (r>=q), i.e. number of factors. If not specified r = 2.

p

AR order of factors. If not specified p = 1.

A

Matrix that update factors with VAR

C

Matrix that combine factors to explain the transformed data.

Q

Error variance in factor update.

R

Error variance in explain data from factors

initx

Initial condition of factor in Kalman filter estimation.

initV

Initial condition of factor variance

ss

Standard deviation in transformed data.

MM

Mean in transformed data.

n.prevs

Number of quarter previsions ahead.