R devel - Jul 2010 - using svd in regression with arima

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.

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@uhd.edu


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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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> 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/
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