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).
|Type||Developing R Package|
|Media of output||R|
|Publisher||University of Strathclyde|
|Number of pages||1|
|Place of Publication||Glasgow|
|Publication status||Published - 10 Mar 2020|