Nothing
mAr.pca <-
function (x, p, k = dim(x)[2], ...)
{
require(mAr)
n = dim(x)[1]
m = dim(x)[2]
if (k <= 1) {
stop("EOF subspace dimension <=1")
}
xcentred = matrix(nrow = n, ncol = m)
xscaled = matrix(nrow = n, ncol = m)
for (i in 1:m) {
xcentred[, i] = x[, i] - apply(x, 2, mean)[i]
}
for (i in 1:m) {
xscaled[, i] = xcentred[, i]/apply(xcentred, 2, sd)[i]
}
d = svd(xscaled)$d
fraction.variance = cumsum(d^2)/sum(d^2)
D = diag(svd(xscaled)$d[1:k])
U = svd(xscaled)$u[, 1:k]
V = svd(xscaled)$v[, 1:k]
scores = U %*% D
loadings = V
mArModel = mAr.est(scores, p)
A = mArModel$AHat
C = mArModel$CHat
SBC = mArModel$SBC
modes = mAr.eig(A)$modes
P = V %*% mAr.eig(A, C)$eigv
return(list(order = p, SBC = SBC, fraction.variance = fraction.variance[1:k],
resid = mArModel$resid, eigv = P, modes = modes, scores = scores))
}
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