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tsfa (version 2012.4-1)

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

2012.4-1

License

GPL-2

Maintainer

Paul Gilbert

Last Published

May 2nd, 2012

Functions in tsfa (2012.4-1)

factorNames

Extract the Factors Names from an Object
simulate.TSFmodel

Simulate a Time Series Factor Model
estTSFmodel

Estimate Time Series Factor Model
factors

Extract Time Series Factors from an Object
permusign

Internal Utility to Permute the Loadings Matrix.
predict

Predict Factor Scores from an Object.
tframeMethods

Time Series Factor Methods for tframe Generics
summary.TSFmodel

summary.TSFmodel Method for Base Generic
FAfitStats

Summary Statistics for a TSFA Models
summaryStats

Summary Statistics Calculations
FAmodel

Construct a Factor Model
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
LedermannBound

Ledermann Bound for Number of Indicators
tsfa-package

Time Series Factor Analysis (TSFA)
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
TSFmodel

Construct a Time Series Factor Model
estFAmodel

Estimate a Factor Model
nfactors

Extract the Number of Factors from an Object
explained

Calculate Explained Portion of Data
loadings

Extract the Loadings Matrix from an Object