Different estimators are provided to solve the blind source separation problem for multivariate time series with stochastic volatility (Matilainen, Nordhausen and Oja (2015) <doi:10.1016/j.spl.2015.04.033>; Matilainen, Miettinen, Nordhausen, Oja and Taskinen (2017) <doi:10.17713/ajs.v46i3-4.671>) and supervised dimension reduction problem for multivariate time series (Matilainen, Croux, Nordhausen and Oja (2017) <doi:10.1016/j.ecosta.2017.04.002>). Different functions based on AMUSE and SOBI are also provided for estimating the dimension of the white noise subspace.
| Version: | 0.5.5 |
| Depends: | ICtest (≥ 0.3-2), JADE (≥ 2.0-2) |
| Imports: | Rcpp (≥ 0.11.0), forecast, boot, parallel, xts, zoo |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | stochvol |
| Published: | 2019-10-14 |
| Author: | Markus Matilainen, Christophe Croux, Jari Miettinen, Klaus Nordhausen, Hannu Oja, Sara Taskinen, Joni Virta |
| Maintainer: | Markus Matilainen <markus.matilainen at outlook.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Materials: | ChangeLog |
| CRAN checks: | tsBSS results |
| Reference manual: | tsBSS.pdf |
| Package source: | tsBSS_0.5.5.tar.gz |
| Windows binaries: | r-devel: tsBSS_0.5.5.zip, r-devel-gcc8: tsBSS_0.5.5.zip, r-release: tsBSS_0.5.5.zip, r-oldrel: tsBSS_0.5.5.zip |
| OS X binaries: | r-release: tsBSS_0.5.5.tgz, r-oldrel: tsBSS_0.5.5.tgz |
| Old sources: | tsBSS archive |
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