tsfa: Time Series Factor Analysis

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Extraction of Factors from Multivariate Time Series. See ?00tsfa-Intro for more details.

Author
Paul Gilbert and Erik Meijer <pgilbert.ttv9z@ncf.ca>
Date of publication
2015-05-01 23:37:37
Maintainer
Paul Gilbert <pgilbert.ttv9z@ncf.ca>
License
GPL-2
Version
2014.10-1
URLs

View on CRAN

Man pages

00.tsfa.Intro
Time Series Factor Analysis (TSFA)
checkResiduals
Check Time Series Idiosyncratic Component
distribution
Distribution of Time Series Factors Estimates
estFAmodel
Estimate a Factor Model
estTSFmodel
Estimate Time Series Factor Model
explained
Calculate Explained Portion of Data
factorNames
Extract the Factors Names from an Object
factors
Extract Time Series Factors from an Object
FAfitStats
Summary Statistics for a TSFA Models
FAmodel
Construct a Factor Model
FAmodelFitStats
Calculate Summary Statistics with given FA Model Parameters
LedermannBound
Ledermann Bound for Number of Indicators
loadings
Extract the Loadings Matrix from an Object
nfactors
Extract the Number of Factors from an Object
permusign
Internal Utility to Permute the Loadings Matrix.
predict
Predict Factor Scores from an Object.
simulate
Simulate a Time Series Factor Model
summary
summary.TSFmodel Method for Base Generic
summaryStats
Summary Statistics Calculations
tframeMethods
Time Series Factor Methods for tframe Generics
tsfa-package
Time Series Factor Analysis (TSFA)
TSFmodel
Construct a Time Series Factor Model

Files in this package

tsfa
tsfa/inst
tsfa/inst/CITATION
tsfa/inst/doc
tsfa/inst/doc/Guide.Stex
tsfa/inst/doc/Guide.pdf
tsfa/inst/doc/Guide.R
tsfa/tests
tsfa/tests/diff.R
tsfa/tests/estTSF_QML.R
tsfa/tests/TruePar.R
tsfa/tests/FAfitStats.R
tsfa/tests/estTSF_ML.R
tsfa/tests/MCestTSF_ML.R
tsfa/NAMESPACE
tsfa/demo
tsfa/demo/WP-2006-3.R
tsfa/demo/00Index
tsfa/demo/SOM-2005.R
tsfa/NEWS
tsfa/R
tsfa/R/tsfa.R
tsfa/vignettes
tsfa/vignettes/Guide.Stex
tsfa/MD5
tsfa/build
tsfa/build/vignette.rds
tsfa/DESCRIPTION
tsfa/man
tsfa/man/FAmodel.Rd
tsfa/man/simulate.Rd
tsfa/man/TSFmodel.Rd
tsfa/man/explained.Rd
tsfa/man/predict.Rd
tsfa/man/estTSFmodel.Rd
tsfa/man/FAfitStats.Rd
tsfa/man/estFAmodel.Rd
tsfa/man/00.tsfa.Intro.Rd
tsfa/man/tsfa-package.Rd
tsfa/man/factors.Rd
tsfa/man/distribution.Rd
tsfa/man/loadings.Rd
tsfa/man/FAmodelFitStats.Rd
tsfa/man/summaryStats.Rd
tsfa/man/tframeMethods.Rd
tsfa/man/permusign.Rd
tsfa/man/factorNames.Rd
tsfa/man/LedermannBound.Rd
tsfa/man/nfactors.Rd
tsfa/man/summary.Rd
tsfa/man/checkResiduals.Rd