ForeCA: Forecastable Component Analysis
Version 0.2.4

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.

Browse man pages Browse package API and functions Browse package files

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
URL http://www.gmge.org
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("ForeCA")

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

Functions

ForeCA Man page
ForeCA-package Man page
Omega Man page Source code
SDF2mvspectrum Source code
biplot.foreca Man page Source code
check_mvspectrum_normalized Man page Source code
check_whitened Man page Source code
common-arguments Man page
complete-controls Man page
complete_algorithm_control Man page Source code
complete_entropy_control Man page Source code
complete_spectrum_control Man page Source code
continuous_entropy Man page Source code
discrete_entropy Man page Source code
fill_hermitian Man page Source code
foreca Man page Source code
foreca-utils Man page
foreca.EM-aux Man page
foreca.EM.E_and_M_step Man page Source code
foreca.EM.E_step Man page Source code
foreca.EM.M_step Man page Source code
foreca.EM.h Man page Source code
foreca.EM.one_weightvector Man page Source code
foreca.multiple_weightvectors Man page Source code
foreca.one_weightvector Man page Source code
foreca.one_weightvector-utils Man page
get_spectrum_from_mvspectrum Man page Source code
initialize_weightvector Man page Source code
make_smooth_weightvector_trace Source code
mvpgram Man page Source code
mvspec2mvspectrum Source code
mvspectrum Man page Source code
mvspectrum-utils Man page
mvspectrum2wcov Man page Source code
normalize_mvspectrum Man page Source code
onAttach Source code
plot.foreca Man page Source code
plot.foreca.one_weightvector Man page Source code
plot.mvspectrum Man page Source code
print.foreca Man page Source code
quadratic_form Man page Source code
sfa Man page Source code
spectral_entropy Man page Source code
spectrum_of_linear_combination Man page Source code
sqrt_matrix Man page Source code
summary.foreca Man page Source code
summary.foreca.one_weightvector Man page Source code
weightvector2entropy_wcov Man page Source code
whiten Man page Source code

Files

inst
inst/CITATION
tests
tests/testthat.R
tests/testthat
tests/testthat/test_foreca-utils.R
tests/testthat/test_aaa.R
tests/testthat/test_initialize_weightvector.R
tests/testthat/test_foreca.R
tests/testthat/test_mvspectrum.R
tests/testthat/test_sfa.R
tests/testthat/test_Omega.R
tests/testthat/helper_aaa.R
tests/testthat/test_quadratic_form.R
tests/testthat/test_spectral_entropy.R
tests/testthat/test_discrete_entropy.R
tests/testthat/test_continuous_entropy.R
tests/testthat/test_foreca.EM-aux.R
tests/testthat/helper_mvspectrum_methods.R
tests/testthat/test_mvspectrum2wcov.R
tests/testthat/test_whiten.R
tests/testthat/helper_mvspectrum2wcov_methods.R
NAMESPACE
NEWS
R
R/mvspectrum.R
R/continuous_entropy.R
R/mvspec2mvspectrum.R
R/complete_controls.R
R/common-arguments.R
R/foreca.EM-aux.R
R/discrete_entropy.R
R/initialize_weightvector.R
R/foreca.one_weightvector-utils.R
R/foreca.EM.one_weightvector.R
R/spectral_entropy.R
R/quadratic_form.R
R/Omega.R
R/foreca-utils.R
R/ForeCA-package.R
R/mvspectrum-utils.R
R/sfa.R
R/whiten.R
R/mvspectrum2wcov.R
R/SDF2mvspectrum.R
R/foreca.R
R/zzz.R
R/univariate_spectrum-functions.R
MD5
DESCRIPTION
man
man/continuous_entropy.Rd
man/initialize_weightvector.Rd
man/quadratic_form.Rd
man/ForeCA-package.Rd
man/common-arguments.Rd
man/mvspectrum2wcov.Rd
man/discrete_entropy.Rd
man/mvspectrum-utils.Rd
man/complete-controls.Rd
man/sfa.Rd
man/foreca.one_weightvector-utils.Rd
man/whiten.Rd
man/foreca-utils.Rd
man/foreca.EM.one_weightvector.Rd
man/foreca.EM-aux.Rd
man/spectral_entropy.Rd
man/mvspectrum.Rd
man/Omega.Rd
man/foreca.Rd
ForeCA documentation built on May 19, 2017, 6:54 a.m.