freqdom: Frequency Domain Analysis for Multivariate Time Series
Version 1.0.4

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.

Browse man pages Browse package API and functions Browse package files

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

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

MSE Man page Source code
OneSideFilter Source code
\%*\% Man page
\%c\% Man page
\%x\% Man page
close.eigen Source code
colshift Source code
cov.structure Man page Source code
debug.trace Source code
dpca.inverse Man page Source code
dpca.scores Man page Source code
dprcomp Man page Source code
filter.process Man page Source code
fourier.transform Man page Source code
freqdom Man page Source code
freqdom.eigen Man page Source code
freqdom.infalphas Source code
freqdom.inflambdas Source code
freqdom.inverse Man page Source code
freqdom.invlamintegral Source code
freqdom.kronecker Man page Source code
freqdom.lags Source code
freqdom.product Man page Source code
freqdom.ratio Man page Source code
freqdom.transpose Man page Source code
inClass Source code
inv.fourier.one Source code
invfourier Man page Source code
is.freqdom Man page Source code
is.positiveint Source code
is.timedom Man page Source code
lagged.cov Man page Source code
lagreg.est Man page Source code
linproc Man page Source code
minus.freqdom Source code
norm.spec Man page Source code
plot.fd.coef Source code
plot.freqdom Man page Source code
plus.freqdom Source code
plus.timedom Source code
print.freqdom Source code
print.timedom Source code
pseudoinverse Man page Source code
rar Man page Source code
rbb Man page Source code
rbm Man page Source code
reg.dim.est Man page Source code
reg.dim.est.treshold Source code
reg.est Man page Source code
reglag.significance Man page Source code
rev.freqdom Source code
rev.timedom Source code
rma Man page Source code
rma.old Source code
rma.proc Source code
speclagreg Man page Source code
speclagreg.K Man page Source code
speclagreg.K.experimental Source code
speclagreg.K.threshold Source code
spectral.density Man page Source code
summary.freqdom Source code
summary.timedom Source code
tc Source code Source code
timedom Man page Source code
timedom.norms Man page Source code
timedom.trunc Man page Source code
weights.Bartlett Source code
weights.Bohman Source code
weights.Daniell Source code
weights.Parzen Source code
weights.ParzenCogburnDavis Source code
weights.Tukey Source code
weights.trunc Source code

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
freqdom documentation built on May 19, 2017, 10:47 p.m.