hmat: Hankel matrices operations.

Description

A set of routines to operate on Hankel matrices stored in compact FFT-based form.

Usage

new.hmat(F, L = (N + 1)%/%2, circular = FALSE, wmask = NULL,
         fmask = NULL, weights = NULL, fft.plan = NULL)
is.hmat(h)
hcols(h)
hrows(h)
hmatmul(hmat, v, transposed = FALSE)
hankel(X, L)

Arguments

F: series to construct the trajectory matrix for.
fft.plan: internal hint argument, should be NULL in most cases
wmask, fmask, weights: special parameters for shaped SSA case (see ssa). wmask and fmask are logical vectors, window and factor masks respectively. weights is integer vector which denotes hankel weights for array elements. If 'NULL', parameters for simple 1D SSA case are used.
circular: logical vector of one element, describes series topology. 'TRUE' means circularity by time.
L: the window length.
h, hmat: matrix to operate on.
transposed: logical, if 'TRUE' the multiplication is performed with the transposed matrix.
v: vector to multiply with.
X: series to construct the trajectory matrix for or matrix for hankelization

Details

Fast Fourier Transform provides a very efficient matrix-vector multiplication routine for Hankel matrices. See the paper in 'References' for the details of the algorithm.

References

Korobeynikov, A. (2010) Computation- and space-efficient implementation of SSA. Statistics and Its Interface, Vol. 3, No. 3, Pp. 257-268

Examples

Run this code

# Construct the Hankel trajectory matrix for 'co2' series
h <- new.hmat(co2, L = 10)
# Print number of columns and rows
print(hrows(h))
print(hcols(h))