GramSchmidtOrthogonalization: GramSchmidtOrtogonalization
In jdestefani/ExtendedDFML: Extended Dynamic Factor Machine Learner
Description
Usage
Arguments
Value
View source: R/dimensionalityReduction.R
Description
Helper function to implement Gram-Schmidt Ortogonalization (applied to the factor forecast)
Usage
1
GramSchmidtOrthogonalization(Z, Z_hat, k)
Arguments
Z
n x k matrix contaning the k factor generated by the dimensionality reduction module - Numeric
Z_hat
h x k matrix containing the h-step ahead forecast for the k input series - Numeric
k
Number of factors for the orthogonalization - Numeric
Value
U - (n+h) x k matrix containing the orthogonalized factors
jdestefani/ExtendedDFML documentation built on Dec. 20, 2021, 10:04 p.m.
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Description Usage Arguments Value
View source: R/dimensionalityReduction.R
Description
Helper function to implement Gram-Schmidt Ortogonalization (applied to the factor forecast)
Usage
1 | GramSchmidtOrthogonalization(Z, Z_hat, k)
|
Arguments
Z |
|
Z_hat |
|
k |
|
Value
U - (n+h) x k matrix containing the orthogonalized factors
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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