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>.
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References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Daniel Peña, Ezequiel Smucler, Victor Yohai: gdpc: An R Package for Generalized Dynamic Principal Components (2020) not zbMATH
- Hallin, Marc; Hörmann, Siegfried; Lippi, Marco: Optimal dimension reduction for high-dimensional and functional time series (2018)