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tsfa (version 2014.2-2)

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

2014.2-2

License

GPL-2

Maintainer

Paul Gilbert

Last Published

February 24th, 2014

Functions in tsfa (2014.2-2)

FAfitStats

Summary Statistics for a TSFA Models
nfactors

Extract the Number of Factors from an Object
estFAmodel

Estimate a Factor Model
FAmodelFitStats

Calculate Summary Statistics with given FA Model Parameters
summaryStats

Summary Statistics Calculations
factorNames

Extract the Factors Names from an Object
LedermannBound

Ledermann Bound for Number of Indicators
distribution.factorsEstEval

Distribution of Time Series Factors Estimates
explained

Calculate Explained Portion of Data
checkResiduals.TSFmodel

Check Time Series Idiosyncratic Component
loadings

Extract the Loadings Matrix from an Object
factors

Extract Time Series Factors from an Object
tframeMethods

Time Series Factor Methods for tframe Generics
estTSFmodel

Estimate Time Series Factor Model
00.tsfa.Intro

Time Series Factor Analysis (TSFA)
summary.TSFmodel

summary.TSFmodel Method for Base Generic
simulate.TSFmodel

Simulate a Time Series Factor Model
TSFmodel

Construct a Time Series Factor Model
FAmodel

Construct a Factor Model
predict

Predict Factor Scores from an Object.
permusign

Internal Utility to Permute the Loadings Matrix.
tsfa-package

Time Series Factor Analysis (TSFA)