Blind Source Separation and Supervised Dimension Reduction for Time Series [R package tsBSS version 1.0.0]

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>.

Version: 1.0.0

Depends: ICtest (≥ 0.3-2), JADE (≥ 2.0-2), BSSprep

Imports: Rcpp (≥ 0.11.0), forecast, boot, parallel, xts, zoo

LinkingTo: Rcpp, RcppArmadillo

Suggests: stochvol, MTS, tsbox, dr

Published: 2021年07月10日

DOI: 10.32614/CRAN.package.tsBSS

Author: Markus Matilainen ORCID iD [cre, aut], Christophe Croux [aut], Jari Miettinen ORCID iD [aut], Klaus Nordhausen ORCID iD [aut], Hannu Oja [aut], Sara Taskinen ORCID iD [aut], Joni Virta ORCID iD [aut]

Maintainer: Markus Matilainen <markus.matilainen at outlook.com>

License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]

NeedsCompilation: yes

Citation: tsBSS citation info

Materials: ChangeLog

In views: TimeSeries

CRAN checks: tsBSS results

Documentation:

Reference manual: tsBSS.html , tsBSS.pdf

Downloads:

Package source: tsBSS_1.0.0.tar.gz

Windows binaries: r-devel: tsBSS_1.0.0.zip, r-release: tsBSS_1.0.0.zip, r-oldrel: tsBSS_1.0.0.zip

macOS binaries: r-release (arm64): tsBSS_1.0.0.tgz, r-oldrel (arm64): tsBSS_1.0.0.tgz, r-release (x86_64): tsBSS_1.0.0.tgz, r-oldrel (x86_64): tsBSS_1.0.0.tgz

Old sources: tsBSS archive

Reverse dependencies:

Reverse depends: ssaBSS

Reverse imports: tensorBSS

Linking:

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