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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
Package details 


Author  Hormann S., Kidzinski L. 
Date of publication  20170901 17:09:43 UTC 
Maintainer  Kidzinski L. <[email protected]> 
License  GPL3 
Version  2.0.1 
Package repository  View on CRAN 
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