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Description

Frequency Domain Based Analysis: Dynamic PCA.

Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component <doi:10.1111/rssb.12076>.
Metadata

Version

2.0.5

License

Unknown

Platforms (75)

    Darwin
    FreeBSD
    Genode
    GHCJS
    Linux
    MMIXware
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    none
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    Windows
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