freqdom: Frequency Domain Analysis for Multivariate Time Series

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.

AuthorHormann S., Kidzinski L.
Date of publication2015-09-06 09:15:16
MaintainerKidzinski L. <lukasz.kidzinski@epfl.ch>
LicenseGPL-3
Version1.0.4

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

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