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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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2021.1-3
2014.10-1
2014.2-2
2014.2-1
2012.4-1
2011.11-1
2011.3-1
2009.10-1
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Install
install.packages('tsfa')
Monthly Downloads
134
Version
2014.2-1
License
GPL-2
Maintainer
Paul Gilbert
Last Published
February 5th, 2014
Functions in tsfa (2014.2-1)
Search functions
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