Package: tsBSS 1.0.0

Markus Matilainen

tsBSS: Blind Source Separation and Supervised Dimension Reduction for Time Series

Different estimators are provided to solve the blind source separation problem for multivariate time series with stochastic volatility and supervised dimension reduction problem for multivariate time series. Different functions based on AMUSE and SOBI are also provided for estimating the dimension of the white noise subspace. The package is fully described in Nordhausen, Matilainen, Miettinen, Virta and Taskinen (2021) <doi:10.18637/jss.v098.i15>.

Authors:Markus Matilainen [cre, aut], Christophe Croux [aut], Jari Miettinen [aut], Klaus Nordhausen [aut], Hannu Oja [aut], Sara Taskinen [aut], Joni Virta [aut]

tsBSS_1.0.0.tar.gz
tsBSS_1.0.0.tar.gz(r-4.5-noble)tsBSS_1.0.0.tar.gz(r-4.4-noble)
tsBSS_1.0.0.tgz(r-4.4-emscripten)tsBSS_1.0.0.tgz(r-4.3-emscripten)
tsBSS.pdf |tsBSS.html
tsBSS/json (API)

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

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • WeeklyReturnsData - Logarithmic Returns of Exchange Rates of 7 Currencies Against US Dollar

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

openblascpp

2.61 score 4 stars 2 packages 17 scripts 344 downloads 1 mentions 14 exports 78 dependencies

Last updated 3 years agofrom:ef2963d774. Checks:OK: 1 NOTE: 1. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 06 2024
R-4.5-linux-x86_64NOTEDec 06 2024

Exports:AMUSEasympAMUSEbootAMUSEladleFixNAgFOBIgJADEgSOBIlbtestPVCSOBIasympSOBIbootSOBIladletssdrvSOBI

Dependencies:bootBSSprepcliclueclustercolorspacecpp11crayoncurlDBIdplyrfansifarverforcatsforecastfracdiffgenericsGGallyggplot2ggstatsgluegtablehmsICSICSNPICtestisobandJADEjsonlitelabelinglatticelifecyclelmtestmagrittrMASSMatrixmgcvminqamitoolsmunsellmvtnormnlmennetnumDerivpatchworkpillarpkgconfigplyrpngprettyunitsprogresspurrrquadprogquantmodR6RColorBrewerRcppRcppArmadilloRcppRollrlangscalesstringistringrsurveysurvivaltibbletidyrtidyselecttimeDatetseriesTTRurcautf8vctrsviridisLitewithrxtszoo

Readme and manuals

Help Manual

Help pageTopics
Blind Source Separation and Supervised Dimension Reduction for Time SeriestsBSS-package
Second-order Separation Sub-White-Noise Asymptotic Testing with AMUSEAMUSEasymp AMUSEasymp.default AMUSEasymp.ts AMUSEasymp.xts AMUSEasymp.zoo
Second-order Separation Sub-White-Noise Bootstrap Testing with AMUSEAMUSEboot AMUSEboot.default AMUSEboot.ts AMUSEboot.xts AMUSEboot.zoo
Ladle Estimator to Estimate the Number of White Noise Components in SOS with AMUSEAMUSEladle AMUSEladle.default AMUSEladle.ts AMUSEladle.xts AMUSEladle.zoo
Class: bssvolbssvol plot.bssvol print.bssvol
The FixNA Method for Blind Source SeparationFixNA FixNA.default FixNA.ts FixNA.xts FixNA.zoo
Generalized FOBIgFOBI gFOBI.default gFOBI.ts gFOBI.xts gFOBI.zoo
Generalized JADEgJADE gJADE.default gJADE.ts gJADE.xts gJADE.zoo
Generalized SOBIgSOBI gSOBI.default gSOBI.ts gSOBI.xts gSOBI.zoo
Modified Ljung-Box Test and Volatility Clustering Test for Time Series.lbtest print.lbtest
A Modified Algorithm for Principal Volatility Component EstimatorPVC PVC.default PVC.ts PVC.xts PVC.zoo
Second-order Separation Sub-White-Noise Asymptotic Testing with SOBISOBIasymp SOBIasymp.default SOBIasymp.ts SOBIasymp.xts SOBIasymp.zoo
Second-order Separation Sub-White-Noise Bootstrap Testing with SOBISOBIboot SOBIboot.default SOBIboot.ts SOBIboot.xts SOBIboot.zoo
Ladle Estimator to Estimate the Number of White Noise Components in SOS with SOBISOBIladle SOBIladle.default SOBIladle.ts SOBIladle.xts SOBIladle.zoo
Summary of an Object of Class tssdrcoef.summary.tssdr components.summary.tssdr plot.summary.tssdr print.summary.tssdr summary.tssdr
Supervised Dimension Reduction for Multivariate Time Seriescomponents.tssdr plot.tssdr print.tssdr tssdr tssdr.default tssdr.ts tssdr.xts tssdr.zoo
A Variant of SOBI for Blind Source SeparationvSOBI vSOBI.default vSOBI.ts vSOBI.xts vSOBI.zoo
Logarithmic Returns of Exchange Rates of 7 Currencies Against US DollarWeeklyReturnsData