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 .


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Reference manual

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install.packages("freqdom")

2.0.1 by Kidzinski L., 2 years ago


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


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 pcdpca.

Depended on by freqdom.fda.


See at CRAN