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tgtg
2000 Sep 11
0
SAMPLS R implementation : pbm with algorithm application
...)
Calculate the covariance matrix C=XXT and c*=Xx* for
prediction
y is centered and become y1
y*1=0
For h =1,2,3...hmax
s=Cyh
center s
working scalar for prediction sample s*=c*Tyh
orthogonalize s to previous t: for g=1,...(h-1),
s=s-(tgTs/tgTtg)tg
orthogonalize s* to previous t*: for g=1,...(h-1),
s*=s*-(tgTs/tgTtg)t*g
t*h=s*
th=s
th2=tTt
betah=(tTyh)/th2
update yh+1=yh-betahth
buid up prediction y*h+1=y*h+betaht*h
end of cycle
----------------------------------- R-code...