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tsfa (version 2014.2-1)

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

2014.2-1

License

GPL-2

Maintainer

Paul Gilbert

Last Published

February 5th, 2014

Functions in tsfa (2014.2-1)

LedermannBound

Ledermann Bound for Number of Indicators
TSFmodel

Construct a Time Series Factor Model
nfactors

Extract the Number of Factors from an Object
factorNames

Extract the Factors Names from an Object
permusign

Internal Utility to Permute the Loadings Matrix.
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
explained

Calculate Explained Portion of Data
tsfa-package

Time Series Factor Analysis (TSFA)
estFAmodel

Estimate a Factor Model
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
estTSFmodel

Estimate Time Series Factor Model
tframeMethods

Time Series Factor Methods for tframe Generics
summaryStats

Summary Statistics Calculations
FAmodel

Construct a Factor Model
loadings

Extract the Loadings Matrix from an Object
summary.TSFmodel

summary.TSFmodel Method for Base Generic
FAfitStats

Summary Statistics for a TSFA Models
simulate.TSFmodel

Simulate a Time Series Factor Model
predict

Predict Factor Scores from an Object.
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
factors

Extract Time Series Factors from an Object