Man pages for freqdom
Frequency Domain Analysis for Multivariate Time Series

cov.structureEstimate the covariance structure within a given window k \in...
dpca.inverseRetrieve a process from given scores
dpca.scoresCompute scores of dynamic principal components
dprcompCompute DPCA filter coefficients
filter.processGenerate a linear process from
fourier.transformCompute fourier transform of given series of operators
freqdomCreate a frequency domain operator
freqdom.eigenEigendevompose a frequency domain operator at each frequency
freqdom.inverseCompute an inverse of a given Frequency Domain Operator
freqdom.kroneckerCompute a kronecker product of two spectral densities
freqdom.productCompute a product of two spectral densities
freqdom.ratioCompute a ratio of two spectral densities
freqdom.transposeTranspose pointwise timedom or freqdom object
grapes-c-grapesConvolution of a process X with an operator A.
grapes-times-grapesFrequency-wise or component-wise matrix product.
grapes-x-grapesFrequency-wise or component-wise Kronecker product.
invfourierInverse Fourier transform for operators
is.freqdomCheck if a given object is a frequency domain matrix
is.timedomCheck if a given object is a time domain object
lagged.covCompute cross covariance with a given lag
lagreg.estEstimate the optimal dimension in linear regression problem
linprocGenerate a linear process from
MSECompute a mean square error between X and Y
norm.specCompute a spectral norm of given matrix P
plot.freqdomPlot a frequency domain operator
pseudoinverseInvert first K eigendirections of the matrix.
rarSimulate a multivariate autoregressive time series
rbbGenerate brownian bridges
rbmGenerate brownian motions
reg.dim.estEstimate the optimal dimension in linear regression problem
reg.estEstimate the optimal dimension in linear regression problem
reglag.significanceTest significance of coefficients in linear model estimator
rmaMoving avarege process
speclagregEstimate regresson operators in a lagged linear model
speclagreg.KDetermine the subspace dimension for inversion in...
spectral.densityCompute the cross spectral density of processes X and Y
timedomCreates a time domain operator
timedom.normsCompute operator norms of elements of a filter
timedom.truncTruncates a time domain object to specified lags
freqdom documentation built on May 2, 2019, 5:55 p.m.