CRAN

tsBSS 0.5.2

Blind Source Separation and Supervised Dimension Reduction for Time Series

Released Oct 9, 2018 by Markus Matilainen

This package can be loaded by Renjin but 9 out 16 tests failed.

Dependencies

Rcpp boot 1.3-20 JADE 2.0-1 RcppArmadillo 0.9.100.5.0 ICtest 0.3-1 forecast 8.4

Different estimates are provided to solve the blind source separation problem for multivariate time series with stochastic volatility (Matilainen, Nordhausen and Oja (2015) ; Matilainen, Miettinen, Nordhausen, Oja and Taskinen (2017) ) and supervised dimension reduction problem for multivariate time series (Matilainen, Croux, Nordhausen and Oja (2017) ). Different functions based on AMUSE and SOBI are also provided for estimating the dimension of the white noise subspace.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>tsBSS</artifactId>
    <version>0.5.2-b1</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:tsBSS')

Test Results

This package was last tested against Renjin 0.9.2692 on Oct 21, 2018.

Source

R
C
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Release History