freqdom

MaRDI QIDQ44120swMATHCRANFDO

Authors Lukasz Kidzinski, Hormann S.

Last update 6 April 2024

Copyright license GNU General Public License, version 3.0

Software version identifier 2.0.3, PACKAGES.rds, 1.0.4, 2.0.1, 2.0.2, 2.0.5

Official website https://cran.r-project.org/web/packages/freqdom/index.html

Source code repository https://github.com/cran/freqdom

Description

Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component <doi:10.1111/rssb.12076>.

Cites work

• Dynamic Functional Principal Components

Cited in

(10)

• fsMTS
• Optimal dimension reduction for high-dimensional and functional time series
• ProDenICA
• MTS
• gogarch
• pcdpca
• PCA4TS
• freqdom.fda
• tsBSS
• ASV

This page was built for software: freqdom