High Dimensional Time Series Analysis Tools

Coint | Identifying cointegration rank of given time series |

CP_MTS | Estimation of matrix CP-factor model |

DGP.CP | Data generate process of matrix CP-factor model |

Factors | Factor modeling: Inference for the number of factors |

HDSReg | High dimensional stochastic regression with latent factors |

MartG_test | Testing for martingale difference hypothesis in high... |

PCA_TS | Principal component analysis for time serise |

SpecMulTest | Statistical inference for high-dimensional spectral density... |

SpecTest | Statistical inference for high-dimensional spectral density... |

UR_test | Testing for unit roots based on sample autocovariances |

WN_test | Testing for white noise hypothesis in high dimension |

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