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HDTSA: High Dimensional Time Series Analysis Tools
Procedures for high-dimensional time series analysis including factor analysis proposed by Lam and Yao (2012) <doi:10.1214/12-AOS970> and Chang, Guo and Yao (2015) <doi:10.1016/j.jeconom.2015.03.024>, martingale difference test proposed by Chang, Jiang and Shao (2021) preprint, principal component analysis proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>, identifying conintegration proposed by Zhang, Robinson and Yao (2019) <doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2021) <doi:10.1093/biomet/asab034> and white noise test proposed by Chang, Yao and Zhou (2017) <doi:10.1093/biomet/asw066>.
Getting started
Browse package contents
Package details |
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| Author | Chen Lin [aut, cre], Jinyuan Chang [aut], Qiwei Yao [aut] |
| Maintainer | Chen Lin <linchen@smail.swufe.edu.cn> |
| License | GPL-3 |
| Version | 1.0.2 |
| URL | https://github.com/Linc2021/HDTSA |
| Package repository | View on CRAN |
| Installation |
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