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

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Alshammri, Fayed Awdah M (2020) QMDPCA : Quadratic Moving Dynamic Principal Component Analysis for Non-Stationary Multivariate Time Series. University of Strathclyde, Glasgow.

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Abstract

This function reduce the dimension of non-stationary (and stationary) multivariate time series by performing eigenanalysis on the quadratic moving cross-covriance matrix of the extended data matrix up to some specified lag. Notice that the following libraries are needed to be installed before using the MDPCA function: library(roll); library(expm).

  • Item type:Other
    ID code:71851
    Dates:
    Date
    Event
    10 March 2020
    Published
    Notes:Alshammri, F. (2020). QMDPCA: Quadratic Moving Dynamic Principal Component Analysis for Non-Stationary Multivariate Time Series. R package version 0.1.0.
    Subjects:Science > Mathematics > Computer software
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:24 Mar 2020 10:15
    Last modified:12 Nov 2024 01:05
    URI:https://strathprints.strath.ac.uk/id/eprint/71851
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