Signal Extraction from Panel Data via Bayesian Sparse Regression and Spectral Decomposition
Overview
Provides a comprehensive toolkit for extracting latent signals from panel data through multivariate time series analysis. Implements spectral decomposition methods including wavelet multiresolution analysis via maximal overlap discrete wavelet transform, Percival and Walden (2000) doi:10.1017/CBO9780511841040, empirical mode decomposition for non-stationary signals, Huang et al. (1998) doi:10.1098/rspa.1998.0193, and Bayesian trend extraction via the Grant-Chan embedded Hodrick-Prescott filter, Grant and Chan (2017) doi:10.1016/j.jedc.2016.12.007. Features Bayesian variable selection through regularized Horseshoe priors, Piironen and Vehtari (2017) doi:10.1214/17-EJS1337SI, for identifying structurally relevant predictors from high-dimensional candidate sets. Includes dynamic factor model estimation, principal component analysis with bootstrap significance testing, and automated technical interpretation of signal morphology and variance topology.
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-05-11
- WARNING12 OK, 1 WARNING2026-05-10
- OK12 OK2026-04-25
Show 1 earlier changeHide 1 earlier change
- NOTE11 OK, 3 NOTE2026-03-10
Documentation
- Help pages
- 48 (25 internal)includes a package overview page
- Examples that run
- 64%7 run in a plain check · 3 only when donttest examples are enabled (R CMD check --as-cran) · 1 never run
- Exported functions with examples
- 73%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 23%
Downloads
Repository
Commits over time
Checks run against github.com/isadorenabi/signaly on 2026-10-18.
No development-tooling practices detected in the upstream repository.
Dependencies
Installing SignalY adds 12 packages (10 with compiled code, 14 MB of source tarballs). Heaviest: fields 3.9 MB, spam 3.1 MB, maps 2.2 MB.
Code & Tests
People & History
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- RR 4.6.0 released · 2026-04-24
- 1.1.1Latest2026-02-04 · current release · diff ↗ ·
added 2 exports
select_by_credible_interval, select_by_magnitude - 1.1.02026-01-28
- RR 4.5.0 released · 2025-04-11
Package metadata
- First published
- 2026-01-28
- Total releases
- 2 / 1 yrs
- License
- MIT + file LICENSE OSI
- Additional repositories
- mc-stan.org
- Minimum R
- ≥ 4.1.0
- Download size
- 120 KB
Cite
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