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tsfa (version 2007.05-1)

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

2007.05-1

License

GPL Version 2. See the LICENSE file for details.

Maintainer

Paul Gilbert

Last Published

January 10th, 2021

Functions in tsfa (2007.05-1)

LedermannBound

Ledermann Bound for Number of Indicators
loadings

Extract the Loadings Matrix from an Object
FAmodel

Construct a Factor Model
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
tsfa-package

Time Series Factor Analysis (TSFA)
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
explained

Calculate Explained Portion of Data
FAfitStats

Summary Statistics for a TSFA Models
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
factorNames

Extract the Factors Names from an Object
tframeMethods

Time Series Factor Methods for tframe Generics
summary.TSFmodel

summary.TSFmodel Method for Base Generic
permusign

Internal Utility to Permute the Loadings Matrix.
TSFmodel

Construct a Time Series Factor Model
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
simulate.TSFmodel

Simulate a Time Series Factor Model
factors

Extract Time Series Factors from an Object
predict

Predict Factor Scores from an Object.
summaryStats

Summary Statistics Calculations
estTSFmodel

Estimate Time Series Factor Model
estFAmodel

Estimate a Factor Model
nfactors

Extract the Number of Factors from an Object