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tsfa (version 2011.3-1)

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

2011.3-1

License

GPL-2 | file LICENSE

Maintainer

Paul Gilbert

Last Published

April 11th, 2011

Functions in tsfa (2011.3-1)

explained

Calculate Explained Portion of Data
estTSFmodel

Estimate Time Series Factor Model
simulate.TSFmodel

Simulate a Time Series Factor Model
loadings

Extract the Loadings Matrix from an Object
predict

Predict Factor Scores from an Object.
tsfa-package

Time Series Factor Analysis (TSFA)
TSFmodel

Construct a Time Series Factor Model
estFAmodel

Estimate a Factor Model
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
FAmodel

Construct a Factor Model
tframeMethods

Time Series Factor Methods for tframe Generics
LedermannBound

Ledermann Bound for Number of Indicators
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
summary.TSFmodel

summary.TSFmodel Method for Base Generic
summaryStats

Summary Statistics Calculations
factors

Extract Time Series Factors from an Object
nfactors

Extract the Number of Factors from an Object
FAfitStats

Summary Statistics for a TSFA Models
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
factorNames

Extract the Factors Names from an Object
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
permusign

Internal Utility to Permute the Loadings Matrix.