cdf {descomponer}

Get Auxiliary Matrix

Description

Gets the auxiliary matrix to vector in time domain, pre-multiplies the vector by the orthogonal matrix,W, and its transpose, Parra F. (2013)

Usage

cdf(y)

Arguments

y

a vector of the observed time-serie values

Value

a matrix of sine and cosine waves adjusted to time-serie

Author(s)

Francisco Parra

References

Harvey, A.C. (1978), Linear Regression in the Frequency Domain, International Economic Review, 19, 507-512.

Parra, F. (2014), Amplitude time-frequency regression, (http://econometria.wordpress.com/2013/08/21/estimation-of-time-varying-regression-coefficients/)

Examples

n<-100;x<-seq(0,24*pi,length=n);y<-sin(x)+rnorm(n,sd=.3)
cdf(y)