From ripley at stats.ox.ac.uk  Wed Jul  7 07:39:07 2010
From: ripley at stats.ox.ac.uk (Prof Brian Ripley)
Date: Wed, 7 Jul 2010 06:39:07 +0100 (BST)
Subject: [Rd] using svd in regression with arima
In-Reply-To: <101CBF5360343B45B9C9B0B05D71474C25B84B@BALI.uhd.campus>
References: <101CBF5360343B45B9C9B0B05D71474C25B84B@BALI.uhd.campus>
Message-ID: <alpine.LFD.2.00.1007070630560.26712@gannet.stats.ox.ac.uk>

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]]
>
> ______________________________________________
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> 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



[Rd] using svd in regression with arima
Prof Brian Ripley