# Calculate Frobenius correlations of the component matrices

### Description

Function calculates Frobenius correlations between grouped matrices from the SSA matrix decomposition

### Usage

1 | ```
frobenius.cor(x, groups, ...)
``` |

### Arguments

`x` |
input SSA object, supposed to be of class ‘ossa’ |

`groups` |
list of numeric vectors, indices of elementary matrix components in the SSA matrix decomposition |

`...` |
further arguments passed to |

### Details

Function computes matrix of Frobenius correlations between grouped matrices from the SSA matrix decomposition.
For group *I = {i_1, …, i_s}* the group matrix is defined as
*X_i = sum_{i in I} (sigma_i U_i (V_i)^T)*.

Frobenius correlation of two matrices is defined as follows:

*
fcor (Z, Y) = <Z, Y>_F / (||Z||_F ||Y||_F)).
*

Frobenius correlation is a measure of Frobenius orthogonality of the components.
If grouped matrices are correlated then the w-correlations of the corresponding reconstructed series is not
relevant measure of separability (and one should use `owcor`

instead).
Also, if the elementary matrices *X_i = sigma_i U_i (V_i)^T*
of the decomposition are not F-orthogonal,
then *σ_i* do not reflect their true contributions into the matrix decomposition.

This function normally should be used only for object of class ‘ossa’. Otherwise it always returns identical matrix (for disjoint groups).

### Value

Object of type 'wcor.matrix'.

### See Also

`wcor`

,
`owcor`

,
`iossa`

.

### Examples

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 | ```
# Separation of two mixed sine-waves with equal amplitudes
N <- 150
L <- 70
omega1 <- 1/5
omega2 <- 1/10
v <- sin(2*pi*omega1 * (1:N)) + sin(2*pi*omega2 * (1:N))
s <- ssa(v, L)
fs <- fossa(s, nested.groups = 1:4, gamma = 100)
# Decomposition is F-orthogonal
plot(frobenius.cor(fs, groups = 1:4), main = "F-correlation matrix")
plot(wcor(s, groups = 1:4))
plot(wcor(fs, groups = 1:4))
# Separate two non-separable sine series with different amplitudes
N <- 150
L <- 70
omega1 <- 0.07
omega2 <- 0.0675
F <- 2*sin(2*pi*omega1 * (1:N)) + 2*sin(2*pi*omega2 * (1:N))
s <- ssa(F, L)
ios <- iossa(s, nested.groups = list(1:2, 3:4),
kappa = NULL, maxiter = 1000, tol = 1e-5)
plot(reconstruct(ios, groups = ios$iossa.groups))
summary(ios)
# Decomposition is really oblique
plot(frobenius.cor(ios, groups = 1:4), main = "F-correlation matrix")
plot(wcor(ios, groups = 1:4))
plot(owcor(ios, groups = list(1:2, 3:4)), main = "Oblique W-correlation matrix")
data(USUnemployment)
unempl.male <- USUnemployment[, "MALE"]
s <- ssa(unempl.male)
ios <- iossa(s, nested.groups = list(c(1:4, 7:11), c(5:6, 12:13)))
summary(ios)
# W-cor matrix before IOSSA and w-cor matrix after it
plot(wcor(s, groups = 1:30))
plot(wcor(ios, groups = 1:30))
# Confirmation of the indicated max value in the above warning
plot(frobenius.cor(ios, groups = 1:30), main = "F-correlation matrix")
``` |