Retrieve a process from given scores
For given scores Y
and dynamic principal components XI
retrive a series from which scores Y
were calculated. This procedure should be seen as the inverse of pcdpca.scores
.
pcdpca.inverse(Y, XI)
Y
: scores processXI
: principal components seriesRetrived process X
Kidzinski, Kokoszka, Jouzdani Dynamic principal components of periodically correlated functional time series Research report, 2016
pcdpca.scores
, pcdpca
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