Re: [R] Using PCA to filter a series

2014-10-04 Thread Jonathan Thayn
-project.org Subject: Re: [R] Using PCA to filter a series I suppose I could calculate the eigenvectors directly and not worry about centering the time-series, since they essentially the same range to begin with: vec - eigen(cor(cbind(d1,d2,d3,d4)))$vector cp - cbind(d1,d2,d3,d4)%*%vec cp1 - cp

Re: [R] Using PCA to filter a series

2014-10-03 Thread David L Carlson
- From: Jonathan Thayn [mailto:jth...@ilstu.edu] Sent: Thursday, October 2, 2014 11:11 PM To: David L Carlson Cc: r-help@r-project.org Subject: Re: [R] Using PCA to filter a series I suppose I could calculate the eigenvectors directly and not worry about centering the time-series, since

[R] Using PCA to filter a series

2014-10-02 Thread Jonathan Thayn
I have four time-series of similar data. I would like to combine these into a single, clean time-series. I could simply find the mean of each time period, but I think that using principal components analysis should extract the most salient pattern and ignore some of the noise. I can compute

Re: [R] Using PCA to filter a series

2014-10-02 Thread Don McKenzie
On Oct 2, 2014, at 12:18 PM, Jonathan Thayn jth...@ilstu.edu wrote: I have four time-series of similar data. I would like to combine these into a single, clean time-series. I could simply find the mean of each time period, but I think that using principal components analysis should extract

Re: [R] Using PCA to filter a series

2014-10-02 Thread Don McKenzie
On Oct 2, 2014, at 2:29 PM, Jonathan Thayn jth...@ilstu.edu wrote: Hi Don. I would like to de-rotate� the first component back to its original state so that it aligns with the original time-series. My goal is to create a �cleaned�, or a �model� time-series from which noise has been removed.

Re: [R] Using PCA to filter a series

2014-10-02 Thread David L Carlson
] On Behalf Of Don McKenzie Sent: Thursday, October 2, 2014 4:39 PM To: Jonathan Thayn Cc: r-help@r-project.org Subject: Re: [R] Using PCA to filter a series On Oct 2, 2014, at 2:29 PM, Jonathan Thayn jth...@ilstu.edu wrote: Hi Don. I would like to de-rotate� the first component back to its original

Re: [R] Using PCA to filter a series

2014-10-02 Thread Jonathan Thayn
University College Station, TX 77840-4352 From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Don McKenzie Sent: Thursday, October 2, 2014 4:39 PM To: Jonathan Thayn Cc: r-help@r-project.org Subject: Re: [R] Using PCA to filter a series On Oct 2, 2014