Frequency Domain Based Analysis: Dynamic PCA
Overview
Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component doi:10.1111/rssb.12076.
Install
Health
NOTECRAN incoming feasibilityr-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc
Maintainer: ‘Kidzinski L. <lukasz.kidzinski@stanford.edu>’
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Authors@R: c(person(given = "Hormann",
family = "S.",
role = "aut"),
person(given = "Kidzinski",
family = "L.",
role = c("aut", "cre"),
email = "lukasz.kidzinski@stanford.edu"))
as necessary.- NOTE11 OK, 2 NOTENow
- NOTE12 OK, 2 NOTE2026-03-30
- ERROR11 OK, 2 NOTE, 1 ERROR2026-03-10
Documentation
- Help pages
- 34 (14 internal)includes a package overview page
- Examples that run
- 100%7 run in a plain check
- Exported functions with examples
- 30%
- Documented parameters
- 91%
- Return-value docs
- 95%
- Help pages citing references
- 21%
Also includes 2 demo scripts (run with demo())
Downloads
Dependencies
Installing freqdom adds 2 packages (1 with compiled code, 1.0 MB of source tarballs). Heaviest: mvtnorm 1.0 MB, matrixcalc 30 KB.
Code & Tests
People & History
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- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- 2.0.5Latest
- RR 4.3.0 released · 2023-04-21
- 2.0.32022-10-04 · diff ↗
- RR 4.2.0 released · 2022-04-22
- 2.0.22022-04-18 · diff ↗
- RR 4.1.0 released · 2021-05-18
- RR 4.0.0 released · 2020-04-24
- RR 3.6.0 released · 2019-04-26
- RR 3.5.0 released · 2018-04-23
- 2.0.12017-09-01 · diff ↗ ·
removed 19 exports
%x%, MSE, dprcomp, freqdom.inverse, freqdom.kronecker, freqdom.ratio, invfourier, lagged.cov, lagreg.est, linproc, norm.spec, pseudoinverse, rbb, rbm, reg.dim.est, reg.est, reglag.significance, speclagreg, speclagreg.Kadded 7 exports
dpca, dpca.KLexpansion, dpca.filters, dpca.scores, dpca.var, fourier.inverse, plus.freqdom - RR 3.4.0 released · 2017-04-21
- RR 3.3.0 released · 2016-05-03
- 1.0.42015-09-06
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- RR 3.2.0 released · 2015-04-16
Package metadata
- First published
- 2015-09-06
- Total releases
- 5 / 11 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 2.15.0
- Download size
- 39 KB
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