Option Spectral Analysis:
The identification, isolation, and reconstruction of signal components via eigendecomposition is known by a variety of names. “Singular Spectral Analysis”, “Principal Component Analysis”, and “Eigenfiltering” are common. FlexPro exclusively uses the “Eigendecomposition” designation since it represents a more precise description of the numeric method.
Eigendecompositions are used in various algorithms throughout FlexPro. They are the principal methodology in the:
– Eigen (MUSIC, EV) Spectral Estimator
Eigendecompositions are also intrinsically a part of all FlexPro procedures that include SVD (singular value decomposition) methods:
– AR (AutoRegressive) Spectral Estimator
– ARMA (AutoRegressive Moving Average) Spectral Estimator
You can caluclate the Correlation matrix and the Covariance matrix. But there is no implicit function to calculate the principal components of a data matrix.