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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