Singular Value Decomposition
Posted: Thu Jun 04, 2015 9:30 am
Hi;
I'm trying to implement a Lee-Carter Model in EViews, but am having an issue with singular value decomposition. The issue is related to the dimensions of the matrices involved.
I know EViews automatically resizes s and v to the appropriate dimensions, and they look fine. My issue is with u. The matrix y_m is 91 x 42 and as such, u should be 91 x 91, but I am getting a u that has the same dimensions as y_m.
Thoughts?
I'm trying to implement a Lee-Carter Model in EViews, but am having an issue with singular value decomposition. The issue is related to the dimensions of the matrices involved.
Code: Select all
vector s
matrix v
matrix u=@svd(y_m,s,v)
Thoughts?