calcv function

Calculate Factor Vector(s)

Generic function for the factor vector calculation given the SSA decomposition.

## S3 method for class 'ssa'
calc.v(x, idx, ...)
## S3 method for class 'cssa'
calc.v(x, idx, ...)

Arguments

• x: SSA object holding the decomposition.
• idx: indices of the factor vectors to compute.
• ...: additional arguments to 'calc.v'.

Details

Factor vector is a column of the factor matrix V, which is calculated as follows:

where X is a Hankel trajectory matrix, U is the matrix of eigenvectors and Sigma is a matrix of singular values.

Returns

A numeric vector of suitable length (usually depends on SSA method and window length).

See Also

Rssa for an overview of the package, as well as, ssa-object, ssa, decompose,

Examples

# Decompose 'co2' series with default parameters
s <- ssa(co2)
# Calculate the 5th factor vector
v <- calc.v(s, 5)