iterativePCASingleStep: iterativePCASingleStep

In jdestefani/ExtendedDFML: Extended Dynamic Factor Machine Learner

Description

Wrapper function implementing a single update in the iterative PCA procedure

Usage

iterativePCASingleStep(
  X_i,
  i,
  pca_type,
  xbar,
  pca,
  forgetting_factor = NA,
  components
)

Arguments

X_i	1 x N matrix containing the sample of the original dataset to use for the update - Numeric
i	Index of the sample - numeric
pca_type	Incremental PCA method to employ - String among those defined in INCREMENTAL_PCA_METHODS
xbar	1 x N matrix containing the means of the N input time series
pca	List containing: values: Matrix containing the eigenvalues associated to PCA vectors: Matrix containing the eigenvectors associated to PCA as columns
forgetting_factor	Forgetting factor to employ in the incremental PCA - Numeric
components	Desired number of PCA components - Numeric

Value

List containing:

pca - List containing:

• values: Matrix containing the eigenvalues associated to PCA

• vectors: Matrix containing the eigenvectors associated to PCA as columns

• x_bar: 1 x N matrix containing the means of the N input time series

jdestefani/ExtendedDFML documentation built on Dec. 20, 2021, 10:04 p.m.