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tsfa (version 2011.11-1)
Time Series Factor Analysis
Description
Extraction of Factors from Multivariate Time Series. See ?00tsfa-Intro for more details.
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2014.10-1
2014.2-2
2014.2-1
2012.4-1
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2011.3-1
2009.10-1
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Install
install.packages('tsfa')
Monthly Downloads
125
Version
2011.11-1
License
GPL-2 | file LICENSE
Maintainer
Paul Gilbert
Last Published
November 3rd, 2011
Functions in tsfa (2011.11-1)
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LedermannBound
Ledermann Bound for Number of Indicators
checkResiduals.TSFmodel
Check Time Series Idiosyncratic Component
FAfitStats
Summary Statistics for a TSFA Models
distribution.factorsEstEval
Distribution of Time Series Factors Estimates
FAmodelFitStats
Calculate Summary Statistics with given FA Model Parameters
permusign
Internal Utility to Permute the Loadings Matrix.
predict
Predict Factor Scores from an Object.
simulate.TSFmodel
Simulate a Time Series Factor Model
tframeMethods
Time Series Factor Methods for tframe Generics
estFAmodel
Estimate a Factor Model
loadings
Extract the Loadings Matrix from an Object
factors
Extract Time Series Factors from an Object
FAmodel
Construct a Factor Model
estTSFmodel
Estimate Time Series Factor Model
nfactors
Extract the Number of Factors from an Object
summaryStats
Summary Statistics Calculations
tsfa-package
Time Series Factor Analysis (TSFA)
factorNames
Extract the Factors Names from an Object
summary.TSFmodel
summary.TSFmodel Method for Base Generic
TSFmodel
Construct a Time Series Factor Model
explained
Calculate Explained Portion of Data
00.tsfa.Intro
Time Series Factor Analysis (TSFA)