High Dimensional Time Series Analysis Tools
Description
An implementation for high-dimensional time series analysis methods, including factor model for vector time series
proposed by Lam and Yao (2012) and Chang, Guo and Yao (2015)
, martingale difference test proposed by
Chang, Jiang and Shao (2023) , principal
component analysis for vector time series proposed by Chang, Guo and Yao (2018) ,
cointegration analysis proposed by Zhang, Robinson and Yao (2019)
, unit root test proposed by Chang, Cheng and Yao (2022)
, white noise tests proposed by Chang, Yao and Zhou (2017)
and Chang et al. (2026+), CP-decomposition for matrix time
series proposed by Chang et al. (2023) and
Chang et al. (2026+) , and statistical inference for
spectral density matrix proposed by Chang et al. (2025)
.