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 (2022) <doi:10.1016/j.jeconom.2022.09.001> in press,principal component analysis proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>, identifying cointegration proposed by Zhang, Robinson and Yao (2019) <doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2021) <doi:10.1093/biomet/asab034>, white noise test proposed by Chang, Yao and Zhou (2017) <doi:10.1093/biomet/asw066>, CP-decomposition for high-dimensional matrix time series proposed by Chang, He, Yang and Yao(2023) <doi:10.1093/jrsssb/qkac011> and Chang, Du, Huang and Yao (2024+), and Statistical inference for high-dimensional spectral density matrix porposed by Chang, Jiang, McElroy and Shao (2023) <doi:10.48550/arXiv.2212.13686>.

Version: 1.0.3
Depends: R (≥ 3.5.0)
Imports: stats, Rcpp, clime, sandwich, methods, MASS, geigen, jointDiag
LinkingTo: Rcpp, RcppEigen
Suggests: knitr
Published: 2024-06-04
DOI: 10.32614/CRAN.package.HDTSA
Author: Chen Lin [aut, cre], 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_1.0.3.tar.gz
Windows binaries: r-devel: HDTSA_1.0.3.zip, r-release: HDTSA_1.0.3.zip, r-oldrel: HDTSA_1.0.3.zip
macOS binaries: r-release (arm64): HDTSA_1.0.3.tgz, r-oldrel (arm64): HDTSA_1.0.3.tgz, r-release (x86_64): HDTSA_1.0.3.tgz, r-oldrel (x86_64): HDTSA_1.0.3.tgz
Old sources: HDTSA archive


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