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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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Version

Install

install.packages('tsfa')

Monthly Downloads

35

Version

2009.02-1

License

GPL-2 | file LICENSE

Maintainer

Paul Gilbert

Last Published

January 10th, 2021

Functions in tsfa (2009.02-1)

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