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tsfa (version 2009.10-1)

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

2009.10-1

License

GPL-2 | file LICENSE

Maintainer

Paul Gilbert

Last Published

October 18th, 2009

Functions in tsfa (2009.10-1)

00.tsfa.Intro

Time Series Factor Analysis (TSFA)
explained

Calculate Explained Portion of Data
estFAmodel

Estimate a Factor Model
factors

Extract Time Series Factors from an Object
loadings

Extract the Loadings Matrix from an Object
summary.TSFmodel

summary.TSFmodel Method for Base Generic
summaryStats

Summary Statistics Calculations
predict

Predict Factor Scores from an Object.
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
estTSFmodel

Estimate Time Series Factor Model
nfactors

Extract the Number of Factors from an Object
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
LedermannBound

Ledermann Bound for Number of Indicators
simulate.TSFmodel

Simulate a Time Series Factor Model
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
permusign

Internal Utility to Permute the Loadings Matrix.
FAmodel

Construct a Factor Model
FAfitStats

Summary Statistics for a TSFA Models
tframeMethods

Time Series Factor Methods for tframe Generics
factorNames

Extract the Factors Names from an Object
tsfa-package

Time Series Factor Analysis (TSFA)
TSFmodel

Construct a Time Series Factor Model