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 (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>.

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

HDTSA_1.0.5.tar.gz
HDTSA_1.0.3.zip(r-4.5)HDTSA_1.0.3.zip(r-4.4)HDTSA_1.0.3.zip(r-4.3)
HDTSA_1.0.5.tgz(r-4.4-x86_64)HDTSA_1.0.5.tgz(r-4.4-arm64)HDTSA_1.0.5.tgz(r-4.3-x86_64)HDTSA_1.0.5.tgz(r-4.3-arm64)
HDTSA_1.0.5.tar.gz(r-4.5-noble)HDTSA_1.0.5.tar.gz(r-4.4-noble)
HDTSA_1.0.5.tgz(r-4.4-emscripten)HDTSA_1.0.5.tgz(r-4.3-emscripten)
HDTSA.pdf |HDTSA.html✨
HDTSA/json (API)

Peer review:

Bug tracker:https://github.com/linc2021/hdtsa/issues

On CRAN:

11 exports 1 stars 1.11 score 11 dependencies 4 scripts 270 downloads

Last updated 15 days agofrom:0684d932b5. Checks:OK: 4 WARNING: 5. Indexed: yes.

Exports:CointCP_MTSDGP.CPFactorsHDSRegMartG_testPCA_TSSpecMulTestSpecTestUR_testWN_test

Dependencies:climegeigenjointDiaglatticelpSolveMASSRcppRcppArmadilloRcppEigensandwichzoo