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tsfa (version 2009.02-1)
Time Series Factor Analysis
Description
Extraction of Factors from Multivariate Time Series. See ?00tsfa-Intro for more details.
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Install
install.packages('tsfa')
Monthly Downloads
134
Version
2009.02-1
License
GPL-2 | file LICENSE
Maintainer
Paul Gilbert
Last Published
February 9th, 2009
Functions in tsfa (2009.02-1)
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distribution.factorsEstEval
Distribution of Time Series Factors Estimates
TSFmodel
Construct a Time Series Factor Model
permusign
Internal Utility to Permute the Loadings Matrix.
summary.TSFmodel
summary.TSFmodel Method for Base Generic
nfactors
Extract the Number of Factors from an Object
predict
Predict Factor Scores from an Object.
factors
Extract Time Series Factors from an Object
FAmodelFitStats
Calculate Summary Statistics with given FA Model Parameters
loadings
Extract the Loadings Matrix from an Object
summaryStats
Summary Statistics Calculations
simulate.TSFmodel
Simulate a Time Series Factor Model
tsfa-package
Time Series Factor Analysis (TSFA)
tframeMethods
Time Series Factor Methods for tframe Generics
factorNames
Extract the Factors Names from an Object
estTSFmodel
Estimate Time Series Factor Model
checkResiduals.TSFmodel
Check Time Series Idiosyncratic Component
00.tsfa.Intro
Time Series Factor Analysis (TSFA)
explained
Calculate Explained Portion of Data
estFAmodel
Estimate a Factor Model
LedermannBound
Ledermann Bound for Number of Indicators
FAmodel
Construct a Factor Model
FAfitStats
Summary Statistics for a TSFA Models