components_odpcs | R Documentation |
Get One-Sided Dynamic Principal Components from an odpcs
object.
components_odpcs(object, which_comp = 1)
object |
An object of class |
which_comp |
Numeric vector indicating which components to get. Default is 1. |
A list whose entries are the desired dynamic principal components.
odpc
, crit.odpc
, cv.odpc
T <- 200 #length of series m <- 10 #number of series set.seed(1234) f <- rnorm(T + 1) x <- matrix(0, T, m) u <- matrix(rnorm(T * m), T, m) for (i in 1:m) { x[, i] <- 10 * sin(2 * pi * (i/m)) * f[1:T] + 10 * cos(2 * pi * (i/m)) * f[2:(T + 1)] + u[, i] } fit <- odpc(x, ks = matrix(c(1, 1, 1, 0), 2, 2)) comps <- components_odpcs(fit, which_comp = c(1, 2))
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