HDTSA
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 tests proposed by Chang, Yao and Zhou (2017) <doi:10.1093/biomet/asw066> and Chang et al. (2026+), CP-decomposition for matrix time series proposed by Chang et al. (2023) <doi:10.1093/jrsssb/qkac011> and Chang et al. (2026+) <doi:10.48550/arXiv.2410.05634>, CP-decomposition for tensor time series proposed by Chang et al. (2026+) <doi:10.48550/arXiv.2606.08560>, and statistical inference for spectral density matrix proposed by Chang et al. (2025) <doi:10.1080/01621459.2025.2468013>.
- Factor modeling for high-dimensional time series: inference for the number of factors
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- Identifying Cointegration by Eigenanalysis
- Modelling matrix time series via a tensor CP-decomposition
- Principal component analysis for second-order stationary vector time series
- Statistical Inference for High-Dimensional Spectral Density Matrix
- Testing for high-dimensional white noise using maximum cross-correlations
- Testing for unit roots based on sample autocovariances
- Testing the martingale difference hypothesis in high dimension
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