从SSA重建时间序列 [英] reconstruct time series from SSA

问题描述

让我们考虑以下代码

clear all;
  B=xlsread('data_generations1','A1','g8:g301');
  n=length(B);
  L =input('Give the size of the interval: ' );% Number of columns in the Data matrix
   m=n-L+1;%number of rows in the Data matrix
 X = zeros(m,L);
  for i=1:m
        X(i,:)=B(i:i+L-1);
  end;
   S=X*X'; 
    [U,autoval]=eig(S);
    [d,i]=sort(-diag(autoval));  
   d=-d;
   U=U(:,i);sev=sum(d); 
    plot((d./sev)*100),hold on,plot((d./sev)*100,'rx');
    title('Singular Spectrum');xlabel('Eigenvalue Number');ylabel('Eigenvalue (% Norm of trajectory matrix retained)')
   V=(X')*U; 
   rc=U*V';
% Step 3: Grouping
   I=input('Choose the agrupation of components to reconstruct the series in the form I=[i1,i2:ik,...,iL]  ')
   Vt=V';
   rca=U(:,I)*Vt(I,:);
% Step 4: Reconstruction

   y=zeros(n,1);  
   Lp=min(L,m);
   Kp=max(L,m);

   for k=0:Lp-2
     for m1=1:k+1;
      y(k+1)=y(k+1)+(1/(k+1))*rca(m1,k-m1+2);
     end
   end

   for k=Lp-1:Kp-1
     for m1=1:Lp;
      y(k+1)=y(k+1)+(1/(Lp))*rca(m1,k-m1+2);
     end
   end

   for k=Kp:n
      for m1=k-Kp+2:n-Kp+1;
       y(k+1)=y(k+1)+(1/(n-k))*rca(m1,k-m1+2);
     end
   end

   figure;subplot(2,1,1);hold on;xlabel('Data poit');ylabel('Original and reconstructed series')
   plot(x1);grid on;plot(y,'r')
   r=x1-y;
   subplot(2,1,2);plot(r,'g');xlabel('Data poit');ylabel('Residual series');grid on
   vr=(sum(d(I))/sev)*100;

此站点使用了代码片段:

The fragment of code was used from this site:

http://www. mathworks.com/matlabcentral/fileexchange/8115-singular-spectrum-analysis-smoother/content/ssa.m

当我运行这段代码averaging

Give the size of the interval: 15
Choose the agrupation of components to reconstruct the series in the form I=[i1,i2:ik,...,iL]  4

I =

     4

Attempted to access rca(1,16); index out of bounds because size(rca)=[280,15].

Error in averaging (line 37)
      y(k+1)=y(k+1)+(1/(Lp))*rca(m1,k-m1+2);

我的代码有什么问题?请帮助我.

What is problem in my code? Please help me.

推荐答案

如错误消息所示，您正在尝试访问rca的第16列，而rca只有15列.

As the error message suggests, you are trying to access the 16th column of rca and rca only has 15 columns.

在Octave中运行代码，我得到以下值:

Running your code in Octave, I get the following values:

>> I
I =  4
>> Kp
Kp =  280
>> Lp
Lp =  15
>> n
n =  294
>> m
m =  280

当k=15和m1=1时，代码错误，给出k-m1+2 = 16，因此错误消息.

The code errors when k=15 and m1=1, which gives k-m1+2 = 16, hence the error message.

编辑

为什么不简单地使用数据来调用它，而不是修改函数?

Rather than modify the function, why not simply call it with your data?

clear all;
B=xlsread('data_generations1','A1','g8:g301');
L =input('Give the size of the interval: ' );% Number of columns in the Data matrix
[y,r,vr]=ssa(B,L);

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