HDTSA: High Dimensional Time Series Analysis Tools

An implementation for high-dimensional time series analysis methods, including factor model for vector time series proposed by Lam and Yao (2012) <doi:10.1214/12-AOS970> and Chang, Guo and Yao (2015) <doi:10.1016/j.jeconom.2015.03.024>, martingale difference test proposed by Chang, Jiang and Shao (2023) <doi:10.1016/j.jeconom.2022.09.001>, principal component analysis for vector time series proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>, cointegration analysis proposed by Zhang, Robinson and Yao (2019) <doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2022) <doi:10.1093/biomet/asab034>, white noise test proposed by Chang, Yao and Zhou (2017) <doi:10.1093/biomet/asw066>, CP-decomposition for matrix time series proposed by Chang et al. (2023) <doi:10.1093/jrsssb/qkac011> and Chang et al. (2024) <doi:10.48550/arXiv.2410.05634>, and statistical inference for spectral density matrix proposed by Chang et al. (2022) <doi:10.48550/arXiv.2212.13686>.

Version:	1.0.5
Depends:	R (≥ 3.5.0)
Imports:	stats, Rcpp, clime, sandwich, methods, MASS, geigen, jointDiag, vars, forecast
LinkingTo:	RcppEigen, Rcpp
Suggests:	knitr
Published:	2024-12-02
DOI:	10.32614/CRAN.package.HDTSA
Author:	Jinyuan Chang [aut], Jing He [aut], Chen Lin [aut, cre], Qiwei Yao [aut]
Maintainer:	Chen Lin <linchen at smail.swufe.edu.cn>
BugReports:	https://github.com/Linc2021/HDTSA/issues
License:	GPL-3
URL:	https://github.com/Linc2021/HDTSA
NeedsCompilation:	yes
In views:	TimeSeries
CRAN checks:	HDTSA results

Documentation:

Reference manual:

HDTSA.pdf

Downloads:

Package source:	HDTSA_1.0.5.tar.gz
Windows binaries:	r-devel: HDTSA_1.0.5.zip, r-release: HDTSA_1.0.5.zip, r-oldrel: HDTSA_1.0.5.zip
macOS binaries:	r-release (arm64): HDTSA_1.0.5.tgz, r-oldrel (arm64): HDTSA_1.0.5.tgz, r-release (x86_64): HDTSA_1.0.5.tgz, r-oldrel (x86_64): HDTSA_1.0.5.tgz
Old sources:	HDTSA archive

Linking:

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