HDTSA

An implementation for high-dimensional time series analysis methods, including factor model for vector time series proposed by Lam and Yao (2012) doi:10.1214/12-AOS970 and Chang, Guo and Yao (2015) doi:10.1016/j.jeconom.2015.03.024, martingale difference test proposed by Chang, Jiang and Shao (2023) doi:10.1016/j.jeconom.2022.09.001, principal component analysis for vector time series proposed by Chang, Guo and Yao (2018) doi:10.1214/17-AOS1613, cointegration analysis proposed by Zhang, Robinson and Yao (2019) doi:10.1080/01621459.2018.1458620, unit root test proposed by Chang, Cheng and Yao (2022) doi:10.1093/biomet/asab034, white noise test proposed by Chang, Yao and Zhou (2017) doi:10.1093/biomet/asw066, CP-decomposition for matrix time series proposed by Chang et al. (2023) doi:10.1093/jrsssb/qkac011 and Chang et al. (2024) doi:10.48550/arXiv.2410.05634, and statistical inference for spectral density matrix proposed by Chang et al. (2022) doi:10.48550/arXiv.2212.13686.

Last 30 days

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.