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SignalY: Signal Extraction from Panel Data via Bayesian Sparse Regression and Spectral Decomposition

Provides a comprehensive toolkit for extracting latent signals from panel data through multivariate time series analysis. Implements spectral decomposition methods including wavelet multiresolution analysis via maximal overlap discrete wavelet transform, Percival and Walden (2000) <doi:10.1017/CBO9780511841040>, empirical mode decomposition for non-stationary signals, Huang et al. (1998) <doi:10.1098/rspa.1998.0193>, and Bayesian trend extraction via the Grant-Chan embedded Hodrick-Prescott filter, Grant and Chan (2017) <doi:10.1016/j.jedc.2016.12.007>. Features Bayesian variable selection through regularized Horseshoe priors, Piironen and Vehtari (2017) <doi:10.1214/17-EJS1337SI>, for identifying structurally relevant predictors from high-dimensional candidate sets. Includes dynamic factor model estimation, principal component analysis with bootstrap significance testing, and automated technical interpretation of signal morphology and variance topology.

Version: 1.1.0
Depends: R (≥ 4.1.0)
Imports: stats, graphics, grDevices, utils, parallel, waveslim (≥ 1.8.4), EMD (≥ 1.5.9), urca (≥ 1.3.3)
Suggests: GPArotation, plotly, cmdstanr (≥ 0.7.0), posterior (≥ 1.5.0), bayesplot (≥ 1.10.0), loo (≥ 2.6.0), projpred (≥ 2.6.0), testthat (≥ 3.0.0), knitr, rmarkdown, patchwork
Published: 2026-01-28
DOI: 10.32614/CRAN.package.SignalY
Author: Jose Mauricio Gomez Julian ORCID iD [aut, cre]
Maintainer: Jose Mauricio Gomez Julian <isadore.nabi at pm.me>
BugReports: https://github.com/IsadoreNabi/SignalY/issues
License: MIT + file LICENSE
URL: https://github.com/IsadoreNabi/SignalY
NeedsCompilation: no
Additional_repositories: https://mc-stan.org/r-packages/
CRAN checks: SignalY results

Documentation:

Reference manual: SignalY.html , SignalY.pdf
Vignettes: SignalY: Comprehensive Signal Extraction from Panel Data (source, R code)
SignalY: Technical Documentation (source)

Downloads:

Package source: SignalY_1.1.0.tar.gz
Windows binaries: r-devel: SignalY_1.1.0.zip, r-release: not available, r-oldrel: SignalY_1.1.0.zip
macOS binaries: r-release (arm64): SignalY_1.1.0.tgz, r-oldrel (arm64): SignalY_1.1.0.tgz, r-release (x86_64): SignalY_1.1.0.tgz, r-oldrel (x86_64): SignalY_1.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=SignalY to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.