HDTSA: High Dimensional Time Series Analysis Tools

Procedures for high-dimensional time series analysis including factor analysis 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 (2021) preprint, principal component analysis proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>, unit root test proposed by Chang, Cheng and Yao (2021) <arXiv:2006.07551> and white noise test proposed by Chang, Yao and Zhou (2017) <doi:10.1093/biomet/asw066>.

Version: 1.0.1
Depends: R (≥ 3.5.0)
Imports: stats, Rcpp, clime, sandwich
LinkingTo: Rcpp, RcppEigen
Suggests: knitr
Published: 2021-11-08
Author: Chen Lin [aut, cre], Guanghui Cheng [aut], Jinyuan Chang [aut], 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_1.0.1.tar.gz
Windows binaries: r-devel: HDTSA_1.0.1.zip, r-release: HDTSA_1.0.1.zip, r-oldrel: HDTSA_1.0.1.zip
macOS binaries: r-release (arm64): HDTSA_1.0.1.tgz, r-oldrel (arm64): HDTSA_1.0.1.tgz, r-release (x86_64): HDTSA_1.0.1.tgz, r-oldrel (x86_64): HDTSA_1.0.1.tgz
Old sources: HDTSA archive


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