ForeCA: Forecastable Component Analysis

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.

AuthorGeorg M. Goerg <im@gmge.org>
Date of publication2016-03-30 08:14:22
MaintainerGeorg M. Goerg <im@gmge.org>
LicenseGPL-2
Version0.2.4
http://www.gmge.org

View on CRAN

Functions

biplot.foreca Man page
check_mvspectrum_normalized Man page
check_whitened Man page
common-arguments Man page
complete_algorithm_control Man page
complete-controls Man page
complete_entropy_control Man page
complete_spectrum_control Man page
continuous_entropy Man page
discrete_entropy Man page
fill_hermitian Man page
foreca Man page
ForeCA Man page
foreca.EM-aux Man page
foreca.EM.E_and_M_step Man page
foreca.EM.E_step Man page
foreca.EM.h Man page
foreca.EM.M_step Man page
foreca.EM.one_weightvector Man page
foreca.multiple_weightvectors Man page
foreca.one_weightvector Man page
foreca.one_weightvector-utils Man page
ForeCA-package Man page
foreca-utils Man page
get_spectrum_from_mvspectrum Man page
initialize_weightvector Man page
mvpgram Man page
mvspectrum Man page
mvspectrum2wcov Man page
mvspectrum-utils Man page
normalize_mvspectrum Man page
Omega Man page
plot.foreca Man page
plot.foreca.one_weightvector Man page
plot.mvspectrum Man page
print.foreca Man page
quadratic_form Man page
sfa Man page
spectral_entropy Man page
spectrum_of_linear_combination Man page
sqrt_matrix Man page
summary.foreca Man page
summary.foreca.one_weightvector Man page
weightvector2entropy_wcov Man page
whiten Man page

Files

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

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