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freqdom: Frequency Domain Based Analysis: Dynamic PCA
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 <doi:10.1111/rssb.12076>.
Getting started
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Package details |
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| Author | Hormann S., Kidzinski L. |
| Maintainer | Kidzinski L. <lukasz.kidzinski@stanford.edu> |
| License | GPL-3 |
| Version | 2.0.3 |
| Package repository | View on CRAN |
| Installation |
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