tsBSS
Blind Source Separation and Supervised Dimension Reduction for Time Series
Different estimators are provided to solve the blind source separation problem for multivariate time series with stochastic volatility and supervised dimension reduction problem for multivariate time series. Different functions based on AMUSE and SOBI are also provided for estimating the dimension of the white noise subspace. The package is fully described in Nordhausen, Matilainen, Miettinen, Virta and Taskinen (2021) doi:10.18637/jss.v098.i15.
- Version1.0.0
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- tsBSS citation info
- Last release07/10/2021
Documentation
Team
Markus Matilainen
Klaus Nordhausen
Show author detailsRolesAuthorJoni Virta
Show author detailsRolesAuthorJari Miettinen
Hannu Oja
Show author detailsRolesAuthorSara Taskinen
Christophe Croux
Show author detailsRolesAuthor
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- Depends3 packages
- Imports5 packages
- Suggests4 packages
- Linking To2 packages
- Reverse Depends1 package
- Reverse Imports1 package