tsBSS: Blind Source Separation and Supervised Dimension Reduction for Time Series

Different estimates are provided to solve the blind source separation problem for multivariate time series with stochastic volatility (Matilainen, Nordhausen and Oja (2015) <doi:10.1016/j.spl.2015.04.033>); Matilainen, Miettinen, Nordhausen, Oja and Taskinen (2017) <doi:10.17713/ajs.v46i3-4.671>) and supervised dimension reduction problem for multivariate time series (Matilainen, Croux, Nordhausen and Oja (2017) <doi:10.1016/j.ecosta.2017.04.002>).

Version: 0.4
Depends: ICtest, JADE
Imports: Rcpp (≥ 0.11.0), forecast
LinkingTo: Rcpp, RcppArmadillo
Suggests: stochvol
Published: 2017-11-17
Author: Markus Matilainen, Christophe Croux, Jari Miettinen, Klaus Nordhausen, Hannu Oja, Sara Taskinen
Maintainer: Markus Matilainen <markus.matilainen at outlook.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: ChangeLog
CRAN checks: tsBSS results

Downloads:

Reference manual: tsBSS.pdf
Package source: tsBSS_0.4.tar.gz
Windows binaries: r-devel: tsBSS_0.3.1.zip, r-release: tsBSS_0.3.1.zip, r-oldrel: tsBSS_0.3.1.zip
OS X El Capitan binaries: r-release: tsBSS_0.3.1.tgz
OS X Mavericks binaries: r-oldrel: tsBSS_0.3.1.tgz
Old sources: tsBSS archive

Reverse dependencies:

Reverse imports: tensorBSS

Linking:

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