MDPCA: Moving Dynamic Principal Component Analysis for Non-Stationary Multivariate Time Series

Research output: Other contribution

Abstract

This function reduce the dimension of non-stationary (and stationary) multivariate time series by performing eigenanalysis on the moving cross-covriance matrix of the extended data matrix up to some specified lag. Notice that thefollowing libraries are needed to be installed before using the MDPCA function: library(roll); library(expm).
Original languageEnglish
TypeDeveloping R Package
Media of outputR
PublisherUniversity of Strathclyde
Number of pages1
Place of PublicationGlasgow
Publication statusPublished - 10 Mar 2020

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Keywords

  • MDPCA

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