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freqdom  

Frequency Domain Based Analysis: Dynamic PCA
View on CRAN: Click here


Download and install freqdom package within the R console
Install from CRAN:
install.packages("freqdom")

Install from Github:
library("remotes")
install_github("cran/freqdom")

Install by package version:
library("remotes")
install_version("freqdom", "2.0.5")



Attach the package and use:
library("freqdom")
Maintained by
Kidzinski L.
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-09-06
Latest Update: 2024-04-06
Description:
Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component .
How to cite:
Kidzinski L. (2015). freqdom: Frequency Domain Based Analysis: Dynamic PCA. R package version 2.0.5, https://cran.r-project.org/web/packages/freqdom. Accessed 04 Jun. 2026.
Previous versions and publish date:
1.0.4 (2015-09-06 16:04), 2.0.1 (2017-09-01 19:09), 2.0.2 (2022-04-18 16:24), 2.0.3 (2022-10-04 11:50)
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Complete documentation for freqdom
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