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>.

Package details

AuthorHormann S., Kidzinski L.
MaintainerKidzinski L. <>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the freqdom package in your browser

Any scripts or data that you put into this service are public.

freqdom documentation built on Oct. 4, 2022, 5:05 p.m.