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# CITATION file created with {cffr} R package
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cff-version: 1.2.0
message: 'To cite package "HDTSA" in publications use:'
type: software
license: GPL-3.0-only
title: 'HDTSA: High Dimensional Time Series Analysis Tools'
version: 1.0.5
doi: 10.32614/CRAN.package.HDTSA
abstract: An implementation for high-dimensional time series analysis methods, including
  factor model for vector time series proposed by Lam and Yao (2012) <https://doi.org/10.1214/12-AOS970>
  and Chang, Guo and Yao (2015) <https://doi.org/10.1016/j.jeconom.2015.03.024>, martingale
  difference test proposed by Chang, Jiang and Shao (2023) <https://doi.org/10.1016/j.jeconom.2022.09.001>,
  principal component analysis for vector time series proposed by Chang, Guo and Yao
  (2018) <https://doi.org/10.1214/17-AOS1613>, cointegration analysis proposed by
  Zhang, Robinson and Yao (2019) <https://doi.org/10.1080/01621459.2018.1458620>,
  unit root test proposed by Chang, Cheng and Yao (2022) <https://doi.org/10.1093/biomet/asab034>,
  white noise test proposed by Chang, Yao and Zhou (2017) <https://doi.org/10.1093/biomet/asw066>,
  CP-decomposition for matrix time series proposed by Chang et al. (2023) <https://doi.org/10.1093/jrsssb/qkac011>
  and Chang et al. (2024) <https://doi.org/10.48550/arXiv.2410.05634>, and statistical
  inference for spectral density matrix proposed by Chang et al. (2022) <https://doi.org/10.48550/arXiv.2212.13686>.
authors:
- family-names: Chang
  given-names: Jinyuan
  email: changjinyuan@swufe.edu.cn
- family-names: He
  given-names: Jing
  email: he_jing@swufe.edu.cn
- family-names: Lin
  given-names: Chen
  email: linchen@smail.swufe.edu.cn
- family-names: Yao
  given-names: Qiwei
  email: q.yao@lse.ac.uk
repository: https://CRAN.R-project.org/package=HDTSA
repository-code: https://github.com/Linc2021/HDTSA
url: https://github.com/Linc2021/HDTSA
date-released: '2024-11-30'
contact:
- family-names: Lin
  given-names: Chen
  email: linchen@smail.swufe.edu.cn