ForeCA: Forecastable Component Analysis

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Implementation of Forecastable Component Analysis ('ForeCA'), including main algorithms and auxiliary function (summary, plotting, etc.) to apply 'ForeCA' to multivariate time series data. 'ForeCA' is a novel dimension reduction (DR) technique for temporally dependent signals. Contrary to other popular DR methods, such as 'PCA' or 'ICA', 'ForeCA' takes time dependency explicitly into account and searches for the most ''forecastable'' signal. The measure of forecastability is based on the Shannon entropy of the spectral density of the transformed signal.

Author
Georg M. Goerg <im@gmge.org>
Date of publication
2016-03-30 08:14:22
Maintainer
Georg M. Goerg <im@gmge.org>
License
GPL-2
Version
0.2.4
URLs

View on CRAN

Man pages

common-arguments
List of common arguments
complete-controls
Completes several control settings
continuous_entropy
Shannon entropy for a continuous pdf
discrete_entropy
Shannon entropy for discrete pmf
foreca
Forecastable Component Analysis
foreca.EM-aux
ForeCA EM auxiliary functions
foreca.EM.one_weightvector
EM-like algorithm to estimate optimal ForeCA transformation
foreca.one_weightvector-utils
Plot, summary, and print methods for class...
ForeCA-package
Implementation of Forecastable Component Analysis (ForeCA)
foreca-utils
Plot, summary, and print methods for class 'foreca'
initialize_weightvector
Initialize weightvector for iterative ForeCA algorithms
mvspectrum
Estimates spectrum of multivariate time series
mvspectrum2wcov
Compute (weighted) covariance matrix from frequency spectrum
mvspectrum-utils
S3 methods for class 'mvspectrum'
Omega
Estimate forecastability of a time series
quadratic_form
Computes quadratic form x' A x
sfa
Slow Feature Analysis
spectral_entropy
Estimates spectral entropy of a time series
whiten
whitens multivariate data

Files in this package

ForeCA
ForeCA/inst
ForeCA/inst/CITATION
ForeCA/tests
ForeCA/tests/testthat.R
ForeCA/tests/testthat
ForeCA/tests/testthat/test_foreca-utils.R
ForeCA/tests/testthat/test_aaa.R
ForeCA/tests/testthat/test_initialize_weightvector.R
ForeCA/tests/testthat/test_foreca.R
ForeCA/tests/testthat/test_mvspectrum.R
ForeCA/tests/testthat/test_sfa.R
ForeCA/tests/testthat/test_Omega.R
ForeCA/tests/testthat/helper_aaa.R
ForeCA/tests/testthat/test_quadratic_form.R
ForeCA/tests/testthat/test_spectral_entropy.R
ForeCA/tests/testthat/test_discrete_entropy.R
ForeCA/tests/testthat/test_continuous_entropy.R
ForeCA/tests/testthat/test_foreca.EM-aux.R
ForeCA/tests/testthat/helper_mvspectrum_methods.R
ForeCA/tests/testthat/test_mvspectrum2wcov.R
ForeCA/tests/testthat/test_whiten.R
ForeCA/tests/testthat/helper_mvspectrum2wcov_methods.R
ForeCA/NAMESPACE
ForeCA/NEWS
ForeCA/R
ForeCA/R/mvspectrum.R
ForeCA/R/continuous_entropy.R
ForeCA/R/mvspec2mvspectrum.R
ForeCA/R/complete_controls.R
ForeCA/R/common-arguments.R
ForeCA/R/foreca.EM-aux.R
ForeCA/R/discrete_entropy.R
ForeCA/R/initialize_weightvector.R
ForeCA/R/foreca.one_weightvector-utils.R
ForeCA/R/foreca.EM.one_weightvector.R
ForeCA/R/spectral_entropy.R
ForeCA/R/quadratic_form.R
ForeCA/R/Omega.R
ForeCA/R/foreca-utils.R
ForeCA/R/ForeCA-package.R
ForeCA/R/mvspectrum-utils.R
ForeCA/R/sfa.R
ForeCA/R/whiten.R
ForeCA/R/mvspectrum2wcov.R
ForeCA/R/SDF2mvspectrum.R
ForeCA/R/foreca.R
ForeCA/R/zzz.R
ForeCA/R/univariate_spectrum-functions.R
ForeCA/MD5
ForeCA/DESCRIPTION
ForeCA/man
ForeCA/man/continuous_entropy.Rd
ForeCA/man/initialize_weightvector.Rd
ForeCA/man/quadratic_form.Rd
ForeCA/man/ForeCA-package.Rd
ForeCA/man/common-arguments.Rd
ForeCA/man/mvspectrum2wcov.Rd
ForeCA/man/discrete_entropy.Rd
ForeCA/man/mvspectrum-utils.Rd
ForeCA/man/complete-controls.Rd
ForeCA/man/sfa.Rd
ForeCA/man/foreca.one_weightvector-utils.Rd
ForeCA/man/whiten.Rd
ForeCA/man/foreca-utils.Rd
ForeCA/man/foreca.EM.one_weightvector.Rd
ForeCA/man/foreca.EM-aux.Rd
ForeCA/man/spectral_entropy.Rd
ForeCA/man/mvspectrum.Rd
ForeCA/man/Omega.Rd
ForeCA/man/foreca.Rd