Package: freqdom 2.0.5

Kidzinski L.

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>.

Authors:Hormann S., Kidzinski L.

freqdom_2.0.5.tar.gz
freqdom_2.0.5.tar.gz(r-4.5-noble)freqdom_2.0.5.tar.gz(r-4.4-noble)
freqdom_2.0.5.tgz(r-4.4-emscripten)freqdom_2.0.5.tgz(r-4.3-emscripten)
freqdom.pdf |freqdom.html✨
freqdom/json (API)

# Install 'freqdom' in R:
install.packages('freqdom', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.08 score 4 packages 411 downloads 24 exports 2 dependencies

Last updated 11 months agofrom:13be6524a4. Checks:2 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 03 2025
R-4.5-linuxOKMar 03 2025

Exports:%*%%c%cov.structuredpcadpca.filtersdpca.KLexpansiondpca.scoresdpca.varfilter.processfourier.inversefourier.transformfreqdomfreqdom.eigenfreqdom.productfreqdom.transposeis.freqdomis.timedomplus.freqdomrarrmaspectral.densitytimedomtimedom.normstimedom.trunc

Dependencies:matrixcalcmvtnorm