Implementation of Forecastable Component Analysis ('ForeCA'), including main algorithms and auxiliary function (summary, plotting, etc.) to apply 'ForeCA' to multivariate time series data. 'ForeCA' is a novel dimension reduction (DR) technique for temporally dependent signals. Contrary to other popular DR methods, such as 'PCA' or 'ICA', 'ForeCA' takes time dependency explicitly into account and searches for the most ”forecastable” signal. The measure of forecastability is based on the Shannon entropy of the spectral density of the transformed signal.
Version: 0.2.7 Depends: R (≥ 3.5.0) Imports: astsa (≥ 1.10), MASS, graphics, reshape2 (≥ 1.4.4), utils Suggests: psd, fBasics, knitr, markdown, mgcv, nlme (≥ 3.1-64), testthat (≥ 2.0.0), rSFA Published: 2020-06-29 DOI: 10.32614/CRAN.package.ForeCA Author: Georg M. Goerg [aut, cre] Maintainer: Georg M. Goerg <im at gmge.org> License: GPL-2 URL: https://github.com/gmgeorg/ForeCA NeedsCompilation: no Citation: ForeCA citation info Materials: README NEWS In views: TimeSeries CRAN checks: ForeCA results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=ForeCA to link to this page.
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