Estimating the Sufficient Dimension Reduction Subspaces in Time
Series
Description
The sdrt() function is designed for estimating subspaces for Sufficient Dimension Reduction (SDR) in time series, with a specific focus on the Time Series Central Mean subspace (TS-CMS). The package employs the Fourier transformation method proposed by Samadi and De Alwis (2023) and the Nadaraya-Watson kernel smoother method proposed by Park et al. (2009) for estimating the TS-CMS. The package provides tools for estimating distances between subspaces and includes functions for selecting model parameters using the Fourier transformation method.