HDTSA

High Dimensional Time Series Analysis Tools

CRAN Package

An implementation for high-dimensional time series analysis methods, including factor model for vector time series proposed by Lam and Yao (2012) doi:10.1214/12-AOS970 and Chang, Guo and Yao (2015) doi:10.1016/j.jeconom.2015.03.024, martingale difference test proposed by Chang, Jiang and Shao (2023) doi:10.1016/j.jeconom.2022.09.001, principal component analysis for vector time series proposed by Chang, Guo and Yao (2018) doi:10.1214/17-AOS1613, cointegration analysis proposed by Zhang, Robinson and Yao (2019) doi:10.1080/01621459.2018.1458620, unit root test proposed by Chang, Cheng and Yao (2022) doi:10.1093/biomet/asab034, white noise test proposed by Chang, Yao and Zhou (2017) doi:10.1093/biomet/asw066, CP-decomposition for matrix time series proposed by Chang et al. (2023) doi:10.1093/jrsssb/qkac011 and Chang et al. (2024) doi:10.48550/arXiv.2410.05634, and statistical inference for spectral density matrix proposed by Chang et al. (2022) doi:10.48550/arXiv.2212.13686.

  • Version1.0.5-1
  • R versionR (≥ 3.5.0)
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release01/28/2025

Documentation


Team


Insights

Last 30 days

This package has been downloaded 599 times in the last 30 days. More downloads than an obscure whitepaper, but not enough to bring down any servers. A solid effort! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 17 times.

Sun
Mon
Tue
Wed
Thu
Fri
Sat
0 downloadsMar 2, 2025
0 downloadsMar 3, 2025
53 downloadsMar 4, 2025
25 downloadsMar 5, 2025
15 downloadsMar 6, 2025
7 downloadsMar 7, 2025
44 downloadsMar 8, 2025
4 downloadsMar 9, 2025
8 downloadsMar 10, 2025
10 downloadsMar 11, 2025
13 downloadsMar 12, 2025
45 downloadsMar 13, 2025
6 downloadsMar 14, 2025
18 downloadsMar 15, 2025
4 downloadsMar 16, 2025
25 downloadsMar 17, 2025
24 downloadsMar 18, 2025
8 downloadsMar 19, 2025
19 downloadsMar 20, 2025
16 downloadsMar 21, 2025
11 downloadsMar 22, 2025
15 downloadsMar 23, 2025
49 downloadsMar 24, 2025
6 downloadsMar 25, 2025
7 downloadsMar 26, 2025
8 downloadsMar 27, 2025
58 downloadsMar 28, 2025
7 downloadsMar 29, 2025
10 downloadsMar 30, 2025
10 downloadsMar 31, 2025
57 downloadsApr 1, 2025
17 downloadsApr 2, 2025
0 downloadsApr 3, 2025
0 downloadsApr 4, 2025
0 downloadsApr 5, 2025
4
58

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 5,299 times in the last 365 days. A solid achievement! Enough downloads to get noticed at department meetings. The day with the most downloads was Jan 30, 2025 with 76 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


Binaries


Dependencies

  • Imports8 packages
  • Suggests1 package
  • Linking To2 packages