freqdom: Frequency Domain Based Analysis: Dynamic PCA

Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component <doi:10.1111/rssb.12076>.

Version: 2.0.1
Depends: R (≥ 2.15.0), mvtnorm, stats, graphics, base, matrixcalc, utils
Suggests: fda, MASS, MARSS
Published: 2017-09-01
Author: Hormann S., Kidzinski L.
Maintainer: Kidzinski L. <lukasz.kidzinski at>
License: GPL-3
NeedsCompilation: no
In views: FunctionalData, TimeSeries
CRAN checks: freqdom results


Reference manual: freqdom.pdf
Package source: freqdom_2.0.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: freqdom_2.0.1.tgz
OS X Mavericks binaries: r-oldrel: freqdom_2.0.1.tgz
Old sources: freqdom archive

Reverse dependencies:

Reverse depends: freqdom.fda
Reverse imports: pcdpca


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