×

freqdom

swMATH ID: 32409
Software Authors: Hormann S., Kidzinski L.
Description: R package freqdom: 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 <doi:10.1111/rssb.12076>.
Homepage: https://cran.r-project.org/web/packages/freqdom/index.html
Source Code:  https://github.com/cran/freqdom
Dependencies: R
Related Software: gdpc; MTS; zoo; RcppArmadillo; Rcpp; R; PCA4TS; CRAN Task Views; JADE; imputeTS; UCI-ml; tuneR; ICtest; forecast; boot; rmgarch; gogarch; tensorBSS; BSSasymp; ICS
Cited in: 1 Publication

Cited in 1 Field

1 Statistics (62-XX)

Citations by Year