timedom.trunc

an object of class <code>timedom</code>.

a vector which contains a set of lags. These lags must be a subset of the lags defined for timedom object A. Only those lags will be kept, the other lags are removed.

lags

This function removes lags from a linear filter.

time.domain

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>.

Lukasz Kidzinski

freqdom

Frequency Domain Based Analysis: Dynamic PCA

timedom.trunc function

<dl><dt>A</dt>
<dd>an object of class <code>timedom</code>.</dd>
<dt>lags</dt>
<dd>a vector which contains a set of lags. These lags must be a subset of the lags defined for timedom object A. Only those lags will be kept, the other lags are removed.</dd></dl>

Arguments

Choose lags of an object of class timedom — timedom.trunc

<dl>

<dt>A</dt>
<dd>an object of class <code>timedom</code>.</dd>


<dt>lags</dt>
<dd>a vector which contains a set of lags. These lags must be a subset of the lags defined for timedom object A. Only those lags will be kept, the other lags are removed.</dd>

</dl>

timedom.trunc: Choose lags of an object of class `timedom`

Description

Usage

Value

Arguments