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tsfa (version 2021.1-3)

Time Series Factor Analysis

Description

Extraction of Factors from Multivariate Time Series. See '?00tsfa-Intro' for more details.

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Version

Install

install.packages('tsfa')

Monthly Downloads

123

Version

2021.1-3

License

GPL-2

Maintainer

Paul Gilbert

Last Published

January 10th, 2021

Functions in tsfa (2021.1-3)

FAfitStats

Summary Statistics for a TSFA Models
FAmodel

Construct a Factor Model
TSFmodel

Construct a Time Series Factor Model
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
LedermannBound

Ledermann Bound for Number of Indicators
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
estFAmodel

Estimate a Factor Model
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
estTSFmodel

Estimate Time Series Factor Model
nfactors

Extract the Number of Factors from an Object
factors

Extract Time Series Factors from an Object
permusign

Internal Utility to Permute the Loadings Matrix.
factorNames

Extract the Factors Names from an Object
explained

Calculate Explained Portion of Data
summary.TSFmodel

summary.TSFmodel Method for Base Generic
summaryStats

Summary Statistics Calculations
loadings

Extract the Loadings Matrix from an Object
tsfa-package

Time Series Factor Analysis (TSFA)
tframeMethods

Time Series Factor Methods for tframe Generics
predict

Predict Factor Scores from an Object.
simulate.TSFmodel

Simulate a Time Series Factor Model