Frequency Domain Based Analysis: Dynamic PCA

Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component .


Reference manual

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2.0.1 by Kidzinski L., 4 years ago

Browse source code at

Authors: Hormann S. , Kidzinski L.

Documentation:   PDF Manual  

Task views: Functional Data Analysis, Time Series Analysis

GPL-3 license

Depends on mvtnorm, stats, graphics, base, matrixcalc, utils

Suggests fda, MASS, MARSS

Imported by fsMTS, pcdpca.

Depended on by freqdom.fda.

See at CRAN