freqdom: Frequency Domain Analysis for Multivariate Time Series

Methods for the analysis of multivariate time series using frequency domain techniques. Implementations of dynamic principle components analysis (DPCA) and estimators of operators in lagged regression. Examples of usage in functional data analysis setup.

Install the latest version of this package by entering the following in R:
install.packages("freqdom")
AuthorHormann S., Kidzinski L.
Date of publication2015-09-06 16:04:27
MaintainerKidzinski L. <lukasz.kidzinski@epfl.ch>
LicenseGPL-3
Version1.0.4

View on CRAN

Man pages

cov.structure: Estimate the covariance structure within a given window k \in...

dpca.inverse: Retrieve a process from given scores

dpca.scores: Compute scores of dynamic principal components

dprcomp: Compute DPCA filter coefficients

filter.process: Generate a linear process from

fourier.transform: Compute fourier transform of given series of operators

freqdom: Create a frequency domain operator

freqdom.eigen: Eigendevompose a frequency domain operator at each frequency

freqdom.inverse: Compute an inverse of a given Frequency Domain Operator

freqdom.kronecker: Compute a kronecker product of two spectral densities

freqdom.product: Compute a product of two spectral densities

freqdom.ratio: Compute a ratio of two spectral densities

freqdom.transpose: Transpose pointwise timedom or freqdom object

grapes-c-grapes: Convolution of a process X with an operator A.

grapes-times-grapes: Frequency-wise or component-wise matrix product.

grapes-x-grapes: Frequency-wise or component-wise Kronecker product.

invfourier: Inverse Fourier transform for operators

is.freqdom: Check if a given object is a frequency domain matrix

is.timedom: Check if a given object is a time domain object

lagged.cov: Compute cross covariance with a given lag

lagreg.est: Estimate the optimal dimension in linear regression problem

linproc: Generate a linear process from

MSE: Compute a mean square error between X and Y

norm.spec: Compute a spectral norm of given matrix P

plot.freqdom: Plot a frequency domain operator

pseudoinverse: Invert first K eigendirections of the matrix.

rar: Simulate a multivariate autoregressive time series

rbb: Generate brownian bridges

rbm: Generate brownian motions

reg.dim.est: Estimate the optimal dimension in linear regression problem

reg.est: Estimate the optimal dimension in linear regression problem

reglag.significance: Test significance of coefficients in linear model estimator

rma: Moving avarege process

speclagreg: Estimate regresson operators in a lagged linear model

speclagreg.K: Determine the subspace dimension for inversion in...

spectral.density: Compute the cross spectral density of processes X and Y

timedom: Creates a time domain operator

timedom.norms: Compute operator norms of elements of a filter

timedom.trunc: Truncates a time domain object to specified lags

Functions

\%*\% Man page
\%c\% Man page
cov.structure Man page
dpca.inverse Man page
dpca.scores Man page
dprcomp Man page
filter.process Man page
fourier.transform Man page
freqdom Man page
freqdom.eigen Man page
freqdom.inverse Man page
freqdom.kronecker Man page
freqdom.product Man page
freqdom.ratio Man page
freqdom.transpose Man page
invfourier Man page
is.freqdom Man page
is.timedom Man page
lagged.cov Man page
lagreg.est Man page
linproc Man page
MSE Man page
norm.spec Man page
plot.freqdom Man page
pseudoinverse Man page
rar Man page
rbb Man page
rbm Man page
reg.dim.est Man page
reg.est Man page
reglag.significance Man page
rma Man page
speclagreg Man page
speclagreg.K Man page
spectral.density Man page
timedom Man page
timedom.norms Man page
timedom.trunc Man page
\%x\% Man page

Files

inst
inst/TODO
tests
tests/fourier.R tests/convolution.R tests/filtering.R
NAMESPACE
demo
demo/reglag.gsl.R demo/dpca.nino.R demo/dpca.simulation.R demo/reglag.est.simulation.R demo/reglag.test.bm.R
demo/00Index
demo/reglag.ice.river.R demo/reglag.test.simulation.R demo/reg.est.R demo/dpca.population.R demo/reglag.pm10.R demo/dpca.pm10.R
data
data/pm10.rda
data/datalist
data/gsl.rda
R
R/lagged.cov.R R/close.eigen.R R/operators.R R/timedom.R R/speclagreg.K.R R/debug.R R/timedom.norms.R R/reglag.significance.R R/plot.freqdom.R R/MSE.R R/freqdom.R R/dprcomp.R R/fourier.transform.R R/freqdom.eigen.R R/filter.process.R R/norm.spec.R R/spectral.density.R R/freqdom.product.R R/freqdom.ratio.R R/freqdom.eigen.helpers.R R/speclagreg.K.experimental.R R/rbm.R R/dpca.scores.R R/reglag.boot.R R/freqdom.lags.R R/freqdom.kronecker.R R/speclagreg.K.crossval.R R/freqdom.inverse.R R/speclagreg.R R/kernels.R R/freqdom.transpose.R R/pseudoinverse.R R/rev.R R/summary.timedom.R R/is.timedom.R R/timedom.trunc.R R/rbb.R R/invfourier.R R/reg.est.R R/rar.R R/linproc.R R/speclagreg.K.threshold.R R/rma.R R/dpca.inverse.R R/reg.dim.est.R R/cov.structure.R R/lagreg.est.R R/is.freqdom.R
MD5
DESCRIPTION
man
man/rbb.Rd man/MSE.Rd man/freqdom.Rd man/reg.est.Rd man/dpca.inverse.Rd man/timedom.Rd man/freqdom.ratio.Rd man/lagreg.est.Rd man/grapes-c-grapes.Rd man/spectral.density.Rd man/grapes-x-grapes.Rd man/dprcomp.Rd man/filter.process.Rd man/rar.Rd man/dpca.scores.Rd man/speclagreg.Rd man/pseudoinverse.Rd man/rma.Rd man/timedom.trunc.Rd man/reg.dim.est.Rd man/freqdom.transpose.Rd man/cov.structure.Rd man/freqdom.inverse.Rd man/lagged.cov.Rd man/norm.spec.Rd man/reglag.significance.Rd man/invfourier.Rd man/speclagreg.K.Rd man/freqdom.kronecker.Rd man/grapes-times-grapes.Rd man/linproc.Rd man/timedom.norms.Rd man/freqdom.product.Rd man/is.freqdom.Rd man/is.timedom.Rd man/freqdom.eigen.Rd man/fourier.transform.Rd man/rbm.Rd man/plot.freqdom.Rd

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