Package: HDTSA
Type: Package
Title: High Dimensional Time Series Analysis Tools
Version: 1.0.6-1
Authors@R: c(person("Jinyuan", "Chang", role = "aut",
    email = "changjinyuan@swufe.edu.cn"),
    person("Jing", "He", role = c("aut"), email = "he_jing@swufe.edu.cn"),
    person("Chen", "Lin", role = c("aut", "cre"), email = "linchen@smail.swufe.edu.cn"),
    person("Qiwei ", "Yao", role = "aut", email = "q.yao@lse.ac.uk"))
Date: 2026-03-30
Author: Jinyuan Chang [aut], Jing He [aut], Chen Lin [aut, cre], Qiwei
        Yao [aut]
Maintainer: Chen Lin <linchen@smail.swufe.edu.cn>
Description: 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 tests proposed by Chang, Yao and Zhou (2017)
        <doi:10.1093/biomet/asw066> and Chang et al. (2026+),
        CP-decomposition for matrix time series proposed by Chang et
        al. (2023) <doi:10.1093/jrsssb/qkac011> and Chang et al.
        (2026+) <doi:10.48550/arXiv.2410.05634>, CP-decomposition for
        tensor time series proposed by Chang et al. (2026+)
        <doi:10.48550/arXiv.2606.08560>, and statistical inference for
        spectral density matrix proposed by Chang et al. (2025)
        <doi:10.1080/01621459.2025.2468013>.
License: GPL-3
Depends: R (>= 3.5.0)
Imports: stats, Rcpp, clime, sandwich, methods, MASS, geigen,
        jointDiag, vars, forecast, rTensor
LinkingTo: RcppArmadillo, RcppEigen, Rcpp
Suggests: knitr
NeedsCompilation: yes
RoxygenNote: 7.3.2
Encoding: UTF-8
URL: https://github.com/Linc2021/HDTSA
BugReports: https://github.com/Linc2021/HDTSA/issues
Repository: https://linc2021.r-universe.dev
Date/Publication: 2026-06-23 12:34:44 UTC
RemoteUrl: https://github.com/linc2021/hdtsa
RemoteRef: HEAD
RemoteSha: 33713b7d5e83e9f0295ca5e7c8a70cc04e44900b
Packaged: 2026-06-23 13:59:26 UTC; root