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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 |
| Reference manual: | HDTSA.pdf |
| 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 |
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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.