High Dimensional Time Series Analysis Tools

An implementation for high-dimensional time series analysis methods, including factor model for vector time series proposed by Lam and Yao (2012) and Chang, Guo and Yao (2015) , martingale difference test proposed by Chang, Jiang and Shao (2023) , principal component analysis for vector time series proposed by Chang, Guo and Yao (2018) , cointegration analysis proposed by Zhang, Robinson and Yao (2019) , unit root test proposed by Chang, Cheng and Yao (2022) , white noise tests proposed by Chang, Yao and Zhou (2017) and Chang et al. (2026+), CP-decomposition for matrix time series proposed by Chang et al. (2023) and Chang et al. (2026+) , CP-decomposition for tensor time series proposed by Chang et al. (2026+) , and statistical inference for spectral density matrix proposed by Chang et al. (2025) .