fitted.gdpcs: Get Reconstructed Time Series From a gdpcs Object

In esmucler/gdpc: Generalized Dynamic Principal Components

Get Reconstructed Time Series From a gdpcs Object

Description

Get reconstructed time series from a gdpcs object.

Usage

  ## S3 method for class 'gdpcs'
fitted(object, num_comp = 1, ...)

Arguments

object	An object of class gdpcs, usually the result of auto.gdpc.
num_comp	Integer indicating how many components to use for the reconstruction. Default is 1.
...	Additional arguments for compatibility.

Value

A matrix that is the reconstruction of the original series.

Author(s)

Daniel Peña, Ezequiel Smucler, Victor Yohai

See Also

gdpc, auto.gdpc, plot.gdpc

Examples

  T <- 200 #length of series
  m <- 200 #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]
  }
  #Choose number of lags using the LOO criterion.
  #k_max=2 to keep computation time low
  autofit <- auto.gdpc(x, k_max = 2, auto_comp = FALSE, num_comp = 2) 
  recons <- fitted(autofit, num_comp = 2)

esmucler/gdpc documentation built on Nov. 23, 2023, 5:39 p.m.