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>, unit root test proposed by Chang, Cheng and Yao (2021) <arXiv:2006.07551> and white noise test proposed by Chang, Yao and Zhou (2017) <doi:10.1093/biomet/asw066>.

Getting started

Package details

AuthorChen Lin [aut, cre], Guanghui Cheng [aut], Jinyuan Chang [aut], Qiwei Yao [aut]
MaintainerChen Lin <linchen@smail.swufe.edu.cn>
URL https://github.com/Linc2021/HDTSA
Package repositoryView on CRAN
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HDTSA documentation built on Nov. 8, 2021, 5:07 p.m.