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

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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

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