Package: HDTSA 1.0.5

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 (2023) <doi:10.1016/j.jeconom.2022.09.001>, 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>.

Authors:Chen Lin [aut, cre], Jinyuan Chang [aut], Qiwei Yao [aut]