High Dimensional Time Series Analysis Tools

Documentation for package ‘HDTSA’ version 1.0.3

Coint	Identifying cointegration rank of given time series
CP_MTS	Estimation of matrix CP-factor model
DGP.CP	Data generate process of matrix CP-factor model
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
PCA_TS	Principal component analysis for time serise
SpecMulTest	Statistical inference for high-dimensional spectral density matrix
SpecTest	Statistical inference for high-dimensional spectral density matrix
UR_test	Testing for unit roots based on sample autocovariances
WN_test	Testing for white noise hypothesis in high dimension