[Rd] using svd in regression with arima

[Prof Brian Ripley]

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
>
>
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>
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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