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#Principal Volatility Components - Modified PVC from Miettinen et al. (2019)
# Method PVC
PVC <- function(X, ...) UseMethod("PVC")
# main function for PVC
PVC.default <- function(X, k = 1:12, ordered = FALSE, acfk = NULL, original = TRUE, alpha = 0.05, ...) {
if (!is.numeric(X)) stop("non-numeric data")
if (any(is.na(X) | is.infinite(X))) stop("missing/infinite values are not allowed")
nk <- length(k)
n <- nrow(X)
p <- ncol(X)
prep <- BSSprep(X)
Y <- prep$Y
R <- .Call( "PVCk", Y, k, PACKAGE = "tsBSS")$R
U <- .Call("EIGEN", R, PACKAGE = "tsBSS")$vectors
W <- crossprod(U, prep$COV.sqrt.i)
W <- diag(sign(rowMeans(W))) %*% W
S <- tcrossprod(prep$X.C, W)
if (ordered == TRUE) { #Ordering by volatility
if (is.null(acfk) == TRUE) { acfk <- k }
ord <- ordf(S, acfk, p, W, alpha, ...)
W <- ord$W
if (original == TRUE) {
S <- ord$S # Original independent components
} else {
S <- ord$RS # Residuals based on ARMA fit, if applicable; otherwise original IC's
Sraw <- ord$S
Sraw <- ts(Sraw, names = paste("Series", 1:p))
}
}
S <- ts(S, names = paste("Series", 1:p))
RES <- list(W = W, k = k, S = S, MU = prep$MEAN)
if (ordered == TRUE) {
if (original == FALSE) {
RES$Sraw <- Sraw
}
RES$fits <- ord$fits
RES$armaeff <- ord$armaeff
RES$linTS <- ord$linTS
RES$linP <- ord$linP
RES$volTS <- ord$volTS
RES$volP <- ord$volP
}
class(RES) <- c("bssvol", "bss")
RES
}
PVC.ts <- function(X, ...) {
x <- as.matrix(X)
RES <- PVC.default(x, ...)
S <- RES$S
attr(S, "tsp") <- attr(X, "tsp")
RES$S <- S
if (!is.null(RES$Sraw)) {
Sraw <- RES$Sraw
attr(Sraw, "tsp") <- attr(X, "tsp")
RES$Sraw <- Sraw
}
RES
}
PVC.xts <- function(X, ...) {
x <- as.matrix(X)
RES <- PVC.default(x, ...)
S <- xts::as.xts(RES$S)
attr(S, "index") <- attr(X, "index")
xts::xtsAttributes(S) <- xts::xtsAttributes(X) #attributes additional to zoo
RES$S <- S
if (!is.null(RES$Sraw)) {
Sraw <- xts::as.xts(RES$Sraw)
attr(Sraw, "index") <- attr(X, "index")
xts::xtsAttributes(Sraw) <- xts::xtsAttributes(X)
RES$Sraw <- Sraw
}
RES
}
PVC.zoo <- function(X, ...) {
x <- as.matrix(X)
RES <- PVC.default(x, ...)
S <- zoo::as.zoo(RES$S)
attr(S, "index") <- attr(X, "index")
RES$S <- S
if (!is.null(RES$Sraw)) {
Sraw <- zoo::as.zoo(RES$Sraw)
attr(Sraw, "index") <- attr(X, "index")
RES$Sraw <- Sraw
}
RES
}
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