HDTSA
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Software:82544
CRANHDTSAMaRDI QIDQ82544FDOQ82544
High Dimensional Time Series Analysis Tools
Chen Lin, Qiwei Yao, Jinyuan Chang
Last update: 7 January 2023
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.0.2
- Factor modeling for high-dimensional time series: Inference for the number of factors
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- Principal component analysis for second-order stationary vector time series
- Identifying Cointegration by Eigenanalysis
- Testing for unit roots based on sample autocovariances
- Testing for high-dimensional white noise using maximum cross-correlations
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