svd.tpdm: Singular Value decomposition for cross-TPDM

In ExtrPatt: Spatial Dependencies and Indices for Extremes

Singular Value decomposition for cross-TPDM

Description

Calculates singular value decomposition (SVD) of given cross-TPDM

Usage

svd.tpdm(Sigma, X, Y)

Arguments

Sigma	A n x n data array, containing the cross-TPDM, can be output of est.tpdm.
X	A t x n dimensional, numeric Data-matrix with t: Number of time steps and n: Number of grid points/stations.
Y	Same as X but for second variable.

Value

List containing

• pcU, pcV: The left- and right expansion coefficients of cross-TPDM

• U, V: The left- and right singular Vectors of cross-TPDM

• extr.U, extr.V: The left- and right singular vectors of cross-TPDM, but transformed in positive reals with trans

ExtrPatt documentation built on Nov. 8, 2023, 1:09 a.m.