High Dimensional Time Series Analysis Tools

Documentation for package ‘HDTSA’ version 1.0.5-1

Coint	Identifying the cointegration rank of nonstationary vector time series
CP_MTS	Estimating the matrix time series CP-factor model
DGP.CP	Generating simulated data for the example in Chang et al. (2024)
Factors	Factor analysis for vector time series
FamaFrench	Fama-French 10*10 return series
HDSReg	Factor analysis with observed regressors for vector time series
IPindices	U.S. Industrial Production indices
MartG_test	Testing for martingale difference hypothesis in high dimension
PCA_TS	Principal component analysis for vector time series
predict.factors	Make predictions from a '"factors"' object
predict.mtscp	Make predictions from a '"mtscp"' object
predict.tspca	Make predictions from a '"tspca"' object
QWIdata	The national QWI hires data
SpecMulTest	Multiple testing with FDR control for spectral density matrix
SpecTest	Global testing for spectral density matrix
UR_test	Testing for unit roots based on sample autocovariances
WN_test	Testing for white noise hypothesis in high dimension