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tsfa (version 2006.2-1)

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

35

Version

2006.2-1

License

GPL Version 2. See the LICENSE file for details.

Maintainer

Paul Gilbert

Last Published

January 10th, 2021

Functions in tsfa (2006.2-1)

TSFmodel

Construct a Time Series Factor Model
factorNames

Extract the Factors Names from an Object
summaryStats

Summary Statistics Calculations
checkResiduals.TSFestModel

Check Time Series Idiosyncratic Component
tframeMethods

Time Series Factor Methods for tframe Generics
explained.TSFmodel

Calculate Explained Portion of Data
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
predict

Predict Factor Scores from an Object.
loadings

Extract the Loadings Matrix from an Object
estTSF.ML

Estimate Time Series Factor Model
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
factors

Extract Time Series Factors from an Object
FAfitStats

Summary Statistics for a TSFA Models
nfactors

Extract the Number of Time Series Factors from an Object
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
simulate.TSFmodel

Simulate a Time Series Factor Model
permusign

Internal Utility to Permute the Loadings Matrix.
LedermannBound

Ledermann Bound for Number of Indicators
summary.TSFestModel

summary.TSFestModel Method for Base Generic