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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 


Author  Hormann S., Kidzinski L. 
Maintainer  Kidzinski L. <lukasz.kidzinski@stanford.edu> 
License  GPL3 
Version  2.0.3 
Package repository  View on CRAN 
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