RMAWGEN (version 1.3.7)

GPCA_iteration: This function makes an iteration of PCA-Gaussianization process

Description

This function makes an iteration of PCA-Gaussianization process

Usage

GPCA_iteration(x_prev, extremes = TRUE)

Arguments

x_prev

previous set of random variable x

extremes

see normalizeGaussian_severalstations

Value

A GPCA_iteration S3 object which contains the following objects:

x_prev Previous set of random variable, x_prev input variable

x_gauss_prev Marginal Gaussianization of x_prev obtained through normalizeGaussian_severalstations

B_prev rotation matrix (i. e. eigenvector matrix of the covariance matrix of x_gauss_prev

x_next results obtained by multiplying B_prev by x_gauss_prev (see equation 1 of the reference)

See Also

GPCA,GPCA_iteration,inv_GPCA_iteration,inv_GPCA

Examples

# NOT RUN {
library(RMAWGEN)
set.seed(1222)
N <- 20
x <- rexp(N)
y <- x+rnorm(N)
df <- data.frame(x=x,y=y)

GPCA <- GPCA_iteration(df,extremes=TRUE)

x <- rnorm(N)
y <- x+rnorm(N)
dfn <- data.frame(x=x,y=y)

GPCAn <- GPCA_iteration(dfn,extremes=TRUE)


# }