mAr.pca: Multivariate autoregressive analysis in PCA space
Description
Estimation of m-variate AR(p) model in reduced PCA space (for dimensionality reduction) and eigen-decomposition of augmented coefficient matrix
Usage
mAr.pca(x, p, k = dim(x)[2], ...)
Arguments
x
matrix of multivariate time series
p
model order
k
number of principal components to retain
…
additional arguments for specific methods
Value
A list with components:
p
model order
SBC
Schwartz Bayesian Criterion
fraction.variance
fraction of variance explained by the retained components
resid
residuals from the fitted model
eigv
m*p m-dimensional eigenvectors
modes
periods and damping times associated to each eigenmode
References
Neumaier, A. and Schneider, T. (2001), Estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Transactions on Mathematical Software, 27, 1, 27-57.