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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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2021.1-3
2014.10-1
2014.2-2
2014.2-1
2012.4-1
2011.11-1
2011.3-1
2009.10-1
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2006.2-1
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Install
install.packages('tsfa')
Monthly Downloads
101
Version
2006.2-1
License
GPL Version 2. See the LICENSE file for details.
Maintainer
Paul Gilbert
Last Published
January 1st, 1970
Functions in tsfa (2006.2-1)
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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