High Dimensional Time Series Analysis Tools
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Documentation for package ‘HDTSA’ version 1.0.2
Help Pages
| coint | Identifying conintegration rank of given time series |
| factors | Factor modeling: Inference for the number of factors |
| HDSReg | High dimensional stochastic regression with latent factors |
| MartG_test | Testing for martingale difference hypothesis in high dimension |
| PCA4_TS | Principal component analysis for time serise |
| ur.test | Testing for unit roots based on sample autocovariances |
| WN_test | Testing for white noise hypothesis in high dimension |