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ForeCA
View on CRAN: Click
here
Download and install ForeCA package within the R console
Install from CRAN:
install.packages("ForeCA")
Install from Github:
library("remotes")
install_github("cran/ForeCA") Install by package version:
library("remotes")
install_version("ForeCA", "0.2.8-1") Attach the package and use:
library("ForeCA")
Maintained by
Georg M. Goerg
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2012-05-21
Latest Update: 2020-06-29
Description:
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.
How to cite:
Georg M. Goerg (2012). ForeCA: Forecastable Component Analysis. R package version 0.2.8-1, https://cran.r-project.org/web/packages/ForeCA. Accessed 06 Oct. 2026.
Previous versions and publish date:
Other packages that cited ForeCA R package
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Other R packages that ForeCA depends,
imports, suggests or enhances
Complete documentation for ForeCA
Functions, R codes and Examples using
the ForeCA R package
Some associated functions: ForeCA-package . Omega . common-arguments . complete-controls . continuous_entropy . discrete_entropy . foreca-utils . foreca.EM-aux . foreca.EM.one_weightvector . foreca . foreca.one_weightvector-utils . initialize_weightvector . mvspectrum-utils . mvspectrum . mvspectrum2wcov . quadratic_form . sfa . spectral_entropy . whiten .
Some associated R codes: ForeCA-package.R . Omega.R . SDF2mvspectrum.R . common-arguments.R . complete_controls.R . continuous_entropy.R . discrete_entropy.R . foreca-utils.R . foreca.EM-aux.R . foreca.EM.one_weightvector.R . foreca.R . foreca.one_weightvector-utils.R . initialize_weightvector.R . mvspec2mvspectrum.R . mvspectrum-utils.R . mvspectrum.R . mvspectrum2wcov.R . pspectrum2mvspectrum.R . quadratic_form.R . sfa.R . spectral_entropy.R . univariate_spectrum-functions.R . whiten.R . zzz.R . Full ForeCA package functions and examples
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