Implementation of dynamic principal component
analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools.
These frequency domain methods for dimensionality reduction of multivariate time series
were introduced by David Brillinger in his book Time Series (1974). We follow implementation
guidelines as described in Hormann, Kidzinski and Hallin (2016),
Dynamic Functional Principal Component
|Author||Hormann S., Kidzinski L.|
|Date of publication||2017-09-01 17:09:43 UTC|
|Maintainer||Kidzinski L. <lukasz.k[email protected]>|
|Package repository||View on CRAN|
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