freqdom: Frequency Domain Analysis for Multivariate Time Series

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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.

Author
Hormann S., Kidzinski L.
Date of publication
2015-09-06 09:15:16
Maintainer
Kidzinski L. <lukasz.kidzinski@epfl.ch>
License
GPL-3
Version
1.0.4

View on R-Forge

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

Files in this package

freqdom/DESCRIPTION
freqdom/NAMESPACE
freqdom/R
freqdom/R/MSE.R
freqdom/R/close.eigen.R
freqdom/R/cov.structure.R
freqdom/R/debug.R
freqdom/R/dpca.inverse.R
freqdom/R/dpca.scores.R
freqdom/R/dprcomp.R
freqdom/R/filter.process.R
freqdom/R/fourier.transform.R
freqdom/R/freqdom.R
freqdom/R/freqdom.eigen.R
freqdom/R/freqdom.eigen.helpers.R
freqdom/R/freqdom.inverse.R
freqdom/R/freqdom.kronecker.R
freqdom/R/freqdom.lags.R
freqdom/R/freqdom.product.R
freqdom/R/freqdom.ratio.R
freqdom/R/freqdom.transpose.R
freqdom/R/invfourier.R
freqdom/R/is.freqdom.R
freqdom/R/is.timedom.R
freqdom/R/kernels.R
freqdom/R/lagged.cov.R
freqdom/R/lagreg.est.R
freqdom/R/linproc.R
freqdom/R/norm.spec.R
freqdom/R/operators.R
freqdom/R/plot.freqdom.R
freqdom/R/pseudoinverse.R
freqdom/R/rar.R
freqdom/R/rbb.R
freqdom/R/rbm.R
freqdom/R/reg.dim.est.R
freqdom/R/reg.est.R
freqdom/R/reglag.boot.R
freqdom/R/reglag.significance.R
freqdom/R/rev.R
freqdom/R/rma.R
freqdom/R/speclagreg.K.R
freqdom/R/speclagreg.K.crossval.R
freqdom/R/speclagreg.K.experimental.R
freqdom/R/speclagreg.K.threshold.R
freqdom/R/speclagreg.R
freqdom/R/spectral.density.R
freqdom/R/summary.timedom.R
freqdom/R/timedom.R
freqdom/R/timedom.norms.R
freqdom/R/timedom.trunc.R
freqdom/data
freqdom/data/datalist
freqdom/data/gsl.rda
freqdom/data/pm10.rda
freqdom/demo
freqdom/demo/00Index
freqdom/demo/dpca.nino.R
freqdom/demo/dpca.pm10.R
freqdom/demo/dpca.population.R
freqdom/demo/dpca.simulation.R
freqdom/demo/reg.est.R
freqdom/demo/reglag.est.simulation.R
freqdom/demo/reglag.gsl.R
freqdom/demo/reglag.ice.river.R
freqdom/demo/reglag.pm10.R
freqdom/demo/reglag.test.bm.R
freqdom/demo/reglag.test.simulation.R
freqdom/inst
freqdom/inst/TODO
freqdom/man
freqdom/man/MSE.Rd
freqdom/man/cov.structure.Rd
freqdom/man/dpca.inverse.Rd
freqdom/man/dpca.scores.Rd
freqdom/man/dprcomp.Rd
freqdom/man/filter.process.Rd
freqdom/man/fourier.transform.Rd
freqdom/man/freqdom.Rd
freqdom/man/freqdom.eigen.Rd
freqdom/man/freqdom.inverse.Rd
freqdom/man/freqdom.kronecker.Rd
freqdom/man/freqdom.product.Rd
freqdom/man/freqdom.ratio.Rd
freqdom/man/freqdom.transpose.Rd
freqdom/man/grapes-c-grapes.Rd
freqdom/man/grapes-times-grapes.Rd
freqdom/man/grapes-x-grapes.Rd
freqdom/man/invfourier.Rd
freqdom/man/is.freqdom.Rd
freqdom/man/is.timedom.Rd
freqdom/man/lagged.cov.Rd
freqdom/man/lagreg.est.Rd
freqdom/man/linproc.Rd
freqdom/man/norm.spec.Rd
freqdom/man/plot.freqdom.Rd
freqdom/man/pseudoinverse.Rd
freqdom/man/rar.Rd
freqdom/man/rbb.Rd
freqdom/man/rbm.Rd
freqdom/man/reg.dim.est.Rd
freqdom/man/reg.est.Rd
freqdom/man/reglag.significance.Rd
freqdom/man/rma.Rd
freqdom/man/speclagreg.K.Rd
freqdom/man/speclagreg.Rd
freqdom/man/spectral.density.Rd
freqdom/man/timedom.Rd
freqdom/man/timedom.norms.Rd
freqdom/man/timedom.trunc.Rd
freqdom/tests
freqdom/tests/convolution.R
freqdom/tests/filtering.R
freqdom/tests/fourier.R