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freqdom.fda (version 1.0.1)

Functional Time Series: Dynamic Functional Principal Components

Description

Implementations of functional dynamic principle components analysis. Related graphic tools and frequency domain methods. These methods directly use multivariate dynamic principal components implementation, following the guidelines from Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component .

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Version

Install

install.packages('freqdom.fda')

Monthly Downloads

91

Version

1.0.1

License

GPL-3

Maintainer

Lukasz Kidzinski

Last Published

April 19th, 2022

Functions in freqdom.fda (1.0.1)

fts.plot.covariance

Contour plot for the kernels of cross-covariance operators.

freqdom.fda-package

Functional time series: dynamic FPCA

fts.cov.structure

Estimate autocovariance and cross-covariances operators

fts.dpca.KLexpansion

Dynamic KL expansion

Proportion of variance explained by dynamic principal components

Object of class fts.timedom

fts.dpca.filters

Functional dynamic PCA filters

fts.dpca.scores

Functional dynamic principal component scores

fts.plot.filters

Compute Functional Dynamic Principal Components and dynamic Karhunen Loeve extepansion

fts.timedom.trunc

Truncate functional timedom object

fts.plot.operators

Contour plot of operator kernels.

fts.spectral.density

Functional spectral and cross-spectral density operator

Simulate functional moving average processes

Checks if an object belongs to the class fts.freqdom

Creates an object of class fts.freqdom.

Checks if an object belongs to the class fts.timedom

Simulate functional autoregressive processes