Package: tsBSS
Type: Package
Title: Blind Source Separation and Supervised Dimension Reduction for
        Time Series
Version: 0.5.5
Date: 2019-10-14
Author: Markus Matilainen, Christophe Croux, Jari Miettinen, Klaus Nordhausen, Hannu Oja, Sara Taskinen, Joni Virta
Maintainer: Markus Matilainen <markus.matilainen@outlook.com>
Depends: ICtest (>= 0.3-2), JADE (>= 2.0-2)
Imports: Rcpp (>= 0.11.0), forecast, boot, parallel, xts, zoo
LinkingTo: Rcpp, RcppArmadillo
Suggests: stochvol
Description: Different estimators are provided to solve the blind source separation problem for multivariate time series with stochastic volatility (Matilainen, Nordhausen and Oja (2015) <doi:10.1016/j.spl.2015.04.033>; Matilainen, Miettinen, Nordhausen, Oja and Taskinen (2017) <doi:10.17713/ajs.v46i3-4.671>) and supervised dimension reduction problem for multivariate time series (Matilainen, Croux, Nordhausen and Oja (2017) <doi:10.1016/j.ecosta.2017.04.002>). Different functions based on AMUSE and SOBI are also provided for estimating the dimension of the white noise subspace.
License: GPL (>= 2)
LazyData: true
NeedsCompilation: yes
Packaged: 2019-10-14 07:09:58 UTC; manmat
Repository: CRAN
Date/Publication: 2019-10-14 08:40:02 UTC
Built: R 4.1.0; x86_64-w64-mingw32; 2020-08-03 14:38:10 UTC; windows
Archs: i386, x64
