Re: [Rd] using svd in regression with arima

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Wed, 07 Jul 2010 06:39:07 +0100 (BST)

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: hodgesse_at_uhd.edu
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-devel_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
>

-- 
Brian D. Ripley,                  ripley_at_stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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