High Dimensional Time Series Analysis Tools

Procedures for high-dimensional time series analysis including factor analysis proposed by Lam and Yao (2012) and Chang, Guo and Yao (2015) , martingale difference test proposed by Chang, Jiang and Shao (2021) preprint, principal component analysis proposed by Chang, Guo and Yao (2018) , unit root test proposed by Chang, Cheng and Yao (2021) and white noise test proposed by Chang, Yao and Zhou (2017) .


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Reference manual

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install.packages("HDTSA")

1.0.0 by Chen Lin, 17 days ago


https://github.com/Linc2021/HDTSA


Report a bug at https://github.com/Linc2021/HDTSA/issues


Browse source code at https://github.com/cran/HDTSA


Authors: Chen Lin [aut, cre] , Guanghui Cheng [aut] , Jinyuan Chang [aut] , Qiwei Yao [aut]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-3 license


Imports stats, Rcpp, clime, sandwich

Suggests knitr

Linking to Rcpp, RcppEigen


See at CRAN