mvspectrum2wcov: Compute (weighted) covariance matrix from frequency spectrum

In ForeCA: Forecastable Component Analysis

Description

mvspectrum2wcov computes a (weighted) covariance matrix estimate from the frequency spectrum (see Details).

weightvector2entropy_wcov computes the weighted covariance matrix using the negative entropy of the univariate spectrum (given the weightvector) as kernel weights. This matrix is the objective matrix for many foreca.* algorithms.

Usage

mvspectrum2wcov(mvspectrum.output, kernel.weights = 1)

weightvector2entropy_wcov(
  weightvector = NULL,
  f.U,
  f.current = NULL,
  entropy.control = list()
)

Arguments

mvspectrum.output	an object of class "mvspectrum" representing the multivariate spectrum of \mathbf{X}_t (not necessarily normalized).
kernel.weights	numeric; weights for each frequency. By default uses weights that average out to 1.
weightvector	numeric; weights \mathbf{w} for y_t = \mathbf{U}_t \mathbf{w}. Must have unit norm in \ell^2.
f.U	multivariate spectrum of class 'mvspectrum' with normalize = TRUE.
f.current	numeric; spectral density estimate of y_t=\mathbf{U}_t \mathbf{w} for the current estimate \widehat{\mathbf{w}}_i (required for foreca.EM.M_step; optional for foreca.EM.h).
entropy.control	list; control settings for entropy estimation. See complete_entropy_control for details.

Details

The covariance matrix of a multivariate time series satisfies the identity

Σ_{X} \equiv \int_{-π}^{π} S_{X}(λ) d λ.

A generalized covariance matrix estimate can thus be obtained using a weighted average

\tilde{Σ}_X = \int_{-π}^{π} K(λ) S_{X}(λ) d λ,

where K(λ) is a kernel symmetric around 0 which averages out to 1 over the interval [-π, π], i.e., \frac{1}{2 π} \int_{-π}^{π} K(λ) d λ = 1. This allows one to remove or amplify specific frequencies in the covariance matrix estimation.

For ForeCA mvspectrum2wcov is especially important as we use

K(λ) = -\log f_y(λ),

as the weights (their average is not 1!). This particular kernel weight is implemented as a wrapper in weightvector2entropy_wcov.

Value

A symmetric n \times n matrix.

If kernel.weights ≥q 0, then it is positive semi-definite; otherwise, it is symmetric but not necessarily positive semi-definite.

See Also

mvspectrum

Examples

nn <- 50
YY <- cbind(rnorm(nn), arima.sim(n = nn, list(ar = 0.9)), rnorm(nn))
XX <- YY %*% matrix(rnorm(9), ncol = 3)  # random mix
XX <- scale(XX, scale = FALSE, center = TRUE)

# sample estimate of covariance matrix
Sigma.hat <- cov(XX)
dimnames(Sigma.hat) <- NULL

# using the frequency spectrum
SS <- mvspectrum(XX, "mvspec")
Sigma.hat.freq <- mvspectrum2wcov(SS)

layout(matrix(1:4, ncol = 2))
par(mar = c(2, 2, 1, 1))
plot(c(Sigma.hat/Sigma.hat.freq))
abline(h = 1)

image(Sigma.hat)
image(Sigma.hat.freq)
image(Sigma.hat / Sigma.hat.freq)

# examples for entropy wcov
XX <- diff(log(EuStockMarkets)) * 100
UU <- whiten(XX)$U
ff <- mvspectrum(UU, "mvspec", normalize = TRUE)

ww0 <- initialize_weightvector(num.series = ncol(XX), method = 'rnorm')

weightvector2entropy_wcov(ww0, ff,
                          entropy.control = 
                            list(prior.weight = 0.1))

ForeCA documentation built on July 1, 2020, 7:50 p.m.