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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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2014.10-1
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2011.11-1
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2009.10-1
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Install
install.packages('tsfa')
Monthly Downloads
134
Version
2012.4-1
License
GPL-2
Maintainer
Paul Gilbert
Last Published
May 2nd, 2012
Functions in tsfa (2012.4-1)
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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