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tsfa (version 2021.1-3)
Time Series Factor Analysis
Description
Extraction of Factors from Multivariate Time Series. See '?00tsfa-Intro' for more details.
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Version
Version
2021.1-3
2014.10-1
2014.2-2
2014.2-1
2012.4-1
2011.11-1
2011.3-1
2009.10-1
2009.02-1
2007.05-1
2006.2-1
Install
install.packages('tsfa')
Monthly Downloads
18
Version
2021.1-3
License
GPL-2
Maintainer
Paul Gilbert
Last Published
January 10th, 2021
Functions in tsfa (2021.1-3)
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FAfitStats
Summary Statistics for a TSFA Models
FAmodel
Construct a Factor Model
TSFmodel
Construct a Time Series Factor Model
distribution.factorsEstEval
Distribution of Time Series Factors Estimates
checkResiduals.TSFmodel
Check Time Series Idiosyncratic Component
LedermannBound
Ledermann Bound for Number of Indicators
FAmodelFitStats
Calculate Summary Statistics with given FA Model Parameters
estFAmodel
Estimate a Factor Model
00.tsfa.Intro
Time Series Factor Analysis (TSFA)
estTSFmodel
Estimate Time Series Factor Model
nfactors
Extract the Number of Factors from an Object
factors
Extract Time Series Factors from an Object
permusign
Internal Utility to Permute the Loadings Matrix.
factorNames
Extract the Factors Names from an Object
explained
Calculate Explained Portion of Data
summary.TSFmodel
summary.TSFmodel Method for Base Generic
summaryStats
Summary Statistics Calculations
loadings
Extract the Loadings Matrix from an Object
tsfa-package
Time Series Factor Analysis (TSFA)
tframeMethods
Time Series Factor Methods for tframe Generics
predict
Predict Factor Scores from an Object.
simulate.TSFmodel
Simulate a Time Series Factor Model
