ForeCA - Forecastable Component Analysis

[Up] [Top]

Documentation for package ‘ForeCA’ version 0.0.9

Help Pages

ForeCA-package Implementation of Forecastable Component Analysis (ForeCA)
biplot.foreca Plots, summary, print, etc methods for class 'foreca'
continuous_entropy Shannon entropy for a continuous pdf
discrete_entropy Shannon entropy for discrete pmf
ForeCA Implementation of Forecastable Component Analysis (ForeCA)
foreca Performs Forecastable Component Analysis
foreca-utils Plots, summary, print, etc methods for class 'foreca'
foreca.EM EM-like Algorithm to Estimate Optimal Transformations via ForeCA
foreca.EM-aux ForeCA EM auxiliary functions
foreca.EM.E_step ForeCA EM auxiliary functions
foreca.EM.h ForeCA EM auxiliary functions
foreca.EM.init_weightvector ForeCA EM auxiliary functions
foreca.EM.M_step ForeCA EM auxiliary functions
foreca.EM.opt_comp EM-like Algorithm to Estimate Optimal Transformations via ForeCA
mvspec2mvspectrum Estimates spectrum of multivariate time series and returns a 3D array
mvspectrum Estimates spectrum of multivariate time series and returns a 3D array
mvspectrum2wcov Compute (weighted) covariance matrix from frequency spectrum
normalize_mvspectrum Estimates spectrum of multivariate time series and returns a 3D array
Omega Estimate forecastability of a time series
plot.foreca Plots, summary, print, etc methods for class 'foreca'
plot.foreca.EM.opt_comp Plots, summary, print, etc methods for class 'foreca'
quadratic_form Computes quadratic form x' A x
SDF2mvspectrum Estimates spectrum of multivariate time series and returns a 3D array
spectral_entropy Estimates spectral entropy of a time series
summary.foreca Plots, summary, print, etc methods for class 'foreca'
whiten whitens multivariate data