https://github.com/cran/ftsa
Tip revision: bdacd962e07983b325d3672c4048f4337223e4de authored by Han Lin Shang on 09 December 2010, 00:00:00 UTC
version 2.4
version 2.4
Tip revision: bdacd96
plsPI.r
plsPI = function (data, newdata, order, B, alpha, lambda)
{
data = data$y
n = dim(data)[2]
p = dim(data)[1]
n2 = length(newdata)
newdata2 = scale(t(data), scale = FALSE)
mdata = apply(data, 1, mean)
mdata1 = mdata[1:n2]
mdata2 = mdata[(n2 + 1):p]
mdata3 = matrix(rep(mdata2, B), length(mdata2), B)
q = matrix(, order, (n - order))
for (k in 1:(n - order)) {
j = (order - 1) + k
load = svd(newdata2[1:j, ])$v[, 1:order]
load2 = svd(newdata2[1:(j + 1), ])$v[, 1:order]
sco2 = newdata2[1:(j + 1), ] %*% load2
sco = newdata2[1:j, ] %*% load
fore = matrix(, order, 1)
for (i in 1:order) {
fore[i, ] = forecast(ets(sco[, i]), h = 1)$mean
}
q[, k] = sco2[(j + 1), ] - fore
}
oldata = newdata2[1:n, ]
mhandata = apply(data[, 1:n], 1, mean)
mhandata = matrix(rep(mhandata, B), p, B)
load3 = svd(oldata)$v[, 1:order]
load4 = load3[1:n2, ]
load5 = load3[(n2 + 1):p, ]
sco3 = oldata %*% load3
fore2 = matrix(, order, 1)
for (i in 1:order) {
fore2[i, ] = forecast(ets(sco3[, i]), h = 1)$mean
}
k = matrix(, order, B)
for (i in 1:order) {
k[i, ] = sample(q[i, ], size = B, replace = TRUE)
}
fore2 = matrix(rep(fore2, B), order, B)
bbeta = fore2 + k
resi = oldata - sco3 %*% t(load3)
k2 = matrix(, (p - n2), B)
for (i in 1:(p - n2)) {
j = n2 + i
k2[i, ] = sample(resi[, j], size = B, replace = TRUE)
}
I = diag(1:order)
betapls = matrix(, order, B)
for (i in 1:B) {
betapls[, i] = ginv(t(load4) %*% load4 + lambda * I) %*%
(t(load4) %*% (newdata - mdata1) + lambda * bbeta[, i])
}
bootsamp = load5 %*% betapls + k2 + mdata3
w1 = w2 = w3 = w4 = matrix(, (p - n2), 1)
for (i in 1:(p - n2)) {
w1[i, ] = quantile(bootsamp[i, ], alpha/2)
}
for (i in 1:(p - n2)) {
w2[i, ] = quantile(bootsamp[i, ], 1 - alpha/2)
}
forecasts = apply(bootsamp, 1, mean)
return(list(forecasts = forecasts, bootsamp = bootsamp, low = w1, up = w2))
}