freqdom: Frequency Domain Based Analysis: Dynamic PCA
Version 2.0.1

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 .

Package details

AuthorHormann S., Kidzinski L.
Date of publication2017-09-01 17:09:43 UTC
MaintainerKidzinski L. <[email protected]>
Package repositoryView on CRAN
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freqdom documentation built on Sept. 2, 2017, 1:14 a.m.