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tsfa (version 2014.10-1)

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

2014.10-1

License

GPL-2

Maintainer

Paul Gilbert

Last Published

May 1st, 2015

Functions in tsfa (2014.10-1)

predict

Predict Factor Scores from an Object.
estTSFmodel

Estimate Time Series Factor Model
tframeMethods

Time Series Factor Methods for tframe Generics
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
factors

Extract Time Series Factors from an Object
summaryStats

Summary Statistics Calculations
estFAmodel

Estimate a Factor Model
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
tsfa-package

Time Series Factor Analysis (TSFA)
TSFmodel

Construct a Time Series Factor Model
FAfitStats

Summary Statistics for a TSFA Models
loadings

Extract the Loadings Matrix from an Object
summary.TSFmodel

summary.TSFmodel Method for Base Generic
FAmodel

Construct a Factor Model
explained

Calculate Explained Portion of Data
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
LedermannBound

Ledermann Bound for Number of Indicators
permusign

Internal Utility to Permute the Loadings Matrix.
nfactors

Extract the Number of Factors from an Object
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
factorNames

Extract the Factors Names from an Object
simulate.TSFmodel

Simulate a Time Series Factor Model