tsfa-package: Time Series Factor Analysis (TSFA)
In tsfa: Time Series Factor Analysis

Description Details Author(s) References See Also

TSFA extends standard factor analysis (FA) to time series data. Rotations methods can be applied as in FA. A dynamic model of the factors is not assumed, but could be estimated separately using the extracted factors.

Package:	tsfa
Depends:	R (>= 2.0.0), GPArotation, setRNG (>= 2004.4-1), tframe (>= 2006.1-1),
	dse (>= 2006.1-1), EvalEst (>= 2006.1-1)
Suggests:	CDNmoney
License:	GPL Version 2.
URL:	http://tsanalysis.r-forge.r-project.org/

The main functions are:

DstandardizedLoadings   Extract standardized loadings from an object
loadings                Extractloadings from an object
estTSF.ML               Estimate a time series factor model
factors                 Extract time series factors from an object
FAmodelFitStats         Various fit statistics.
simulate                Simulate a time series factor model
summary                 Summary methods for \pkg{tsfa} objects
tfplot                  Plot methods for \pkg{tsfa} objects
TSFmodel                Construct a time series factor model

An overview of how to use the package is available in the vignette tsfa (source, pdf).

Paul Gilbert <pgilbert.ttv9z@ncf.ca> and Erik Meijer <meijer@rand.org>

Maintainer: Paul Gilbert <pgilbert.ttv9z@ncf.ca>

Gilbert, Paul D. and Meijer, Erik (2005) Time Series Factor Analaysis with an Application to Measuring Money. Research Report 05F10, University of Groningen, SOM Research School. Available from https://hdl.handle.net/11370/d7d4ea3d-af1d-487a-b9b6-c0816994ef5a.

Gilbert, Paul D. and Meijer, Erik (2006) Money and Credit Factors. Bank of Canada Working Paper 2006-3, available at https://www.bankofcanada.ca/2006/03/working-paper-2006-3/.

estTSF.ML, GPArotation, tframe, dse

tsfa documentation built on Jan. 10, 2021, 3:01 p.m.