B
R Code for Figure 9-2
n <- 600;
baseline <- n - 0:99;
phi <- 0.9;
HSIndex <- function(x)
{
(mean(x[baseline]) - mean(x)) / sqrt(var(x));
}
SimulatePC1 <- function(p = 50)
{
a <- matrix(NA, n, p);
for (j in 1:p) {
b <- arima.sim(model = list(ar = phi), n);
a[ , j] <- b - mean(b[baseline]);
}
invisible(svd(a)$u[,1]);
}
a <- matrix(NA, n, 5);
for (j in 1:ncol(a)) {
a[ , j] <- SimulatePC1();
}
b <- apply(a, 2, HSIndex);
c <- t(sign(b) * t(a));
matplot(c, type = “l”, xlab = “”, ylab = “”, lty = 2);