A set of routines to operate on Toeplitz matrices stored in compact FFT-based form.
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F |
series to construct the trajectory matrix for. |
fft.plan |
internal hint argument, should be NULL in most cases |
L |
the window length. |
circular |
logical vector of one element, describes series topology. 'TRUE' means series circularity |
t, tmat |
matrix to operate on. |
transposed |
logical, if 'TRUE' the multiplication is performed with the transposed matrix. |
v |
vector to multiply with. |
Fast Fourier Transform provides a very efficient matrix-vector multiplication routine for Toeplitz matrices. See the paper in 'References' for the details of the algorithm.
Korobeynikov, A. (2010) Computation- and space-efficient implementation of SSA. Statistics and Its Interface, Vol. 3, No. 3, Pp. 257-268
Rssa
for an overview of the package, as well as,
ssa
,
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