[Returnanalytics-commits] r3768 - pkg/Dowd/R

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-07-02 20:22:44 +0200 (Thu, 02 Jul 2015)
New Revision: 3768

Modified:
   pkg/Dowd/R/PCAES.R
Log:
Mistakes in svd decomposition corrected.

Modified: pkg/Dowd/R/PCAES.R
===================================================================
--- pkg/Dowd/R/PCAES.R	2015-07-02 18:17:26 UTC (rev 3767)
+++ pkg/Dowd/R/PCAES.R	2015-07-02 18:22:44 UTC (rev 3768)
@@ -40,11 +40,11 @@
   # Principal components estimation
   a <- svd(return.data)  # SVD; provides U and V
   index <- n - number.of.principal.components # Establishes how many zero terms on diagonal of S matrix
-  S.diag <- c(sort(a$d, decreasing = TRUE)[1:number.of.principal.components],
-              double(index)) # Creates diagonal for S matrix
-  S <- matrix(0, m, n)
-  diag(S) <- S.diag # Creates S matrix with diagonal S.diag
-  synthetic.PandL.data <- a$u %*% S * t(a$v) * position.data
+  S.diag <- sort(a$d, decreasing = TRUE)[1:number.of.principal.components] # Creates diagonal for S matrix
+  S.diag <- diag(S.diag)
+  S <- matrix(0, min(m, n), min(m, n))
+  S[1:number.of.principal.components,1:number.of.principal.components] <- S.diag # Creates S matrix with diagonal S.diag
+  synthetic.PandL.data <- a$u %*% S %*% t(a$v) %*% position.data
   
   y <- HSES(synthetic.PandL.data, cl)
   return(y)