HDTSA: High Dimensional Time Series Analysis Tools
Procedures for high-dimensional time series analysis including factor analysis
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 (2022) <doi:10.1016/j.jeconom.2022.09.001> in press,principal
component analysis proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>,
identifying cointegration proposed by Zhang, Robinson and Yao (2019)
<doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2021)
<doi:10.1093/biomet/asab034>, white noise test proposed by Chang, Yao and Zhou (2017)
<doi:10.1093/biomet/asw066>, CP-decomposition for high-dimensional matrix time
series proposed by Chang, He, Yang and Yao(2023) <doi:10.1093/jrsssb/qkac011> and
Chang, Du, Huang and Yao (2024+), and Statistical inference for high-dimensional
spectral density matrix porposed by Chang, Jiang, McElroy and Shao (2023)
<doi:10.48550/arXiv.2212.13686>.
| Version: |
1.0.4 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
stats, Rcpp, clime, sandwich, methods, MASS, geigen, jointDiag |
| LinkingTo: |
Rcpp, RcppEigen |
| Suggests: |
knitr |
| Published: |
2024-09-03 |
| DOI: |
10.32614/CRAN.package.HDTSA |
| Author: |
Chen Lin [aut, cre],
Jinyuan Chang [aut],
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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