bss.components: Function to Extract Estimated Sources from an Object of Class...

Description Usage Arguments Author(s) Examples

Description

Extracts the sources estimated by an bss method.

Usage

1

Arguments

object

object of class bss

Author(s)

Klaus Nordhausen

Examples

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A<- matrix(rnorm(9),3,3)
s1 <- arima.sim(list(ar=c(0.3,0.6)),1000)
s2 <- arima.sim(list(ma=c(-0.3,0.3)),1000)
s3 <- arima.sim(list(ar=c(-0.8,0.1)),1000)

S <- cbind(s1,s2,s3)
X <- S %*% t(A)

res1<-AMUSE(X)
head(bss.components(res1))
colMeans(bss.components(res1))
cov(bss.components(res1))

Example output

      Series 1    Series 2   Series 3
[1,] 0.7344839 -0.30694676 -0.6275348
[2,] 0.9006983 -1.33812792  0.4249904
[3,] 0.8728887  0.06830595 -0.9828179
[4,] 1.1232703  0.59541748  0.1159898
[5,] 0.9231664 -1.61647740 -1.0113882
[6,] 1.6558620  2.07646816  0.9470384
     Series 1      Series 2      Series 3 
-0.1188338488 -0.0241003251  0.0003205149 
              Series 1      Series 2      Series 3
Series 1  1.000000e+00 -5.287445e-15 -8.979388e-15
Series 2 -5.287445e-15  1.000000e+00 -1.418400e-15
Series 3 -8.979388e-15 -1.418400e-15  1.000000e+00

JADE documentation built on March 25, 2020, 5:07 p.m.