rc.m

不同算法对时间序列进行奇异谱分解的源程序代码

  function [R]=rc(A,E)
% Syntax: [R]=rc(A,E);
% This function calculates the 'reconstructed components' using the 
% eigenvectors (E, from ssaeig.m) and principal components (A, from pc.m).
% R is N x M, where M is the embedding dimension used in ssaeig.m.
%
% See section 2.5 of Vautard, Yiou, and Ghil, Physica D 58, 95-126, 1992.
%
%  Written by Eric Breitenberger.   Version date 5/18/95
%  Please send comments and suggestions to [e-mail]   

[M,c]=size(E);
[ra, ca]=size(A);
if M~=c, error('E is improperly dimensioned.'),end
if ca~=M, error('A is improperly dimensioned.'),end
N=ra+M-1;  % Assumes A has N-M+1 rows.

R=zeros(N,M);
Z=zeros(M-1,M);
A=[A' Z'];
A=A';

% Calculate RCs
for k=1:M
  R(:,k)=filter(E(:,k),M,A(:,k));
end

% Adjust first M-1 rows and last M-1 rows
for i=1:M-1
  R(i,:)=R(i,:)*(M/i);
  R(N-i+1,:)=R(N-i+1,:)*(M/i);
end