Stationary Subspace Analysis

Stationary subspace analysis (SSA) is a blind source separation (BSS) variant where stationary components are separated from non-stationary components. Several SSA methods for multivariate time series are provided here (Flumian et al. (2021); Hara et al. (2010) ) along with functions to simulate time series with time-varying variance and autocovariance (Patilea and Raissi(2014) ).


Reference manual

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0.1 by Markus Matilainen, 7 months ago

Browse source code at

Authors: Markus Matilainen [cre, aut] , Lea Flumian [aut] , Klaus Nordhausen [aut] , Sara Taskinen [aut]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports xts, zoo

Depends on tsBSS, ICtest, JADE, BSSprep, ggplot2

See at CRAN