eofproj.m

蒙托卡罗模拟奇异谱分析

function [L,s,V]=eofproj(C,E);
% EOFPROJ - projects a lag-M covariance matrix on the eigenbasis E.
% Syntax: L=eofproj(C,E); [L,s,V]=eofproj(C,E);
%
% Input:  C - an M by M covariance matrix
%         E - an M by M eigenbasis
%
% Output: L - eigenspectrum (the main diagonal of the projection)
%         s - squared Frobenius norm of the projection
%         V - E'*C*E
%        
% Written by Eric Breitenberger.      Version 1/21/96
% Please send comments and suggestions to [e-mail]       
%

V=E'*C*E;
L=diag(V)';
s=sum(sum(V.^2));