On Tue, 6 Jul 2010, Hodgess, Erin wrote:
Dear R Developers:
Why is it that the singular value decomposition is used when running
regression with arima, please? I've been looking for a reference
for that but have come up empty so far.
Do you mean this:
if (!orig.xreg) {
S <- svd(na.omit(xreg))
xreg <- xreg %*% S$v
}
? That is a stability measure for the numerical optimization (it
orthogonalizes the columns, ignoring NAs).
Thank you for any help.
Sincerely,
Erin
Erin M. Hodgess, PhD
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodge...@uhd.edu
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Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
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