HDTSA: High Dimensional Time Series Analysis Tools
An implementation for high-dimensional time series analysis methods, including factor model for vector time series
proposed by Lam and Yao (2012) <doi:10.1214/12-AOS970> and Chang, Guo and Yao (2015)
<doi:10.1016/j.jeconom.2015.03.024>, martingale difference test proposed by
Chang, Jiang and Shao (2023) <doi:10.1016/j.jeconom.2022.09.001>, principal
component analysis for vector time series proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>,
cointegration analysis proposed by Zhang, Robinson and Yao (2019)
<doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2022)
<doi:10.1093/biomet/asab034>, white noise test proposed by Chang, Yao and Zhou (2017)
<doi:10.1093/biomet/asw066>, CP-decomposition for matrix time
series proposed by Chang et al. (2023) <doi:10.1093/jrsssb/qkac011> and
Chang et al. (2024) <doi:10.48550/arXiv.2410.05634>, and statistical inference for
spectral density matrix proposed by Chang et al. (2022)
<doi:10.48550/arXiv.2212.13686>.
| Version: |
1.0.5 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
stats, Rcpp, clime, sandwich, methods, MASS, geigen, jointDiag, vars, forecast |
| LinkingTo: |
RcppEigen, Rcpp |
| Suggests: |
knitr |
| Published: |
2024-12-02 |
| DOI: |
10.32614/CRAN.package.HDTSA |
| Author: |
Jinyuan Chang [aut],
Jing He [aut],
Chen Lin [aut, cre],
Qiwei Yao [aut] |
| Maintainer: |
Chen Lin <linchen at smail.swufe.edu.cn> |
| BugReports: |
https://github.com/Linc2021/HDTSA/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/Linc2021/HDTSA |
| NeedsCompilation: |
yes |
| In views: |
TimeSeries |
| CRAN checks: |
HDTSA results |
Documentation:
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