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tsBSS  

Blind Source Separation and Supervised Dimension Reduction for Time Series
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("tsBSS", "1.0.0")



Attach the package and use:
library("tsBSS")
Maintained by
Markus Matilainen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-12-04
Latest Update: 2021-07-10
Description:
Different estimators are provided to solve the blind source separation problem for multivariate time series with stochastic volatility and supervised dimension reduction problem for multivariate time series. Different functions based on AMUSE and SOBI are also provided for estimating the dimension of the white noise subspace. The package is fully described in Nordhausen, Matilainen, Miettinen, Virta and Taskinen (2021) <doi:10.18637/jss.v098.i15>.
How to cite:
Markus Matilainen (2015). tsBSS: Blind Source Separation and Supervised Dimension Reduction for Time Series. R package version 1.0.0, https://cran.r-project.org/web/packages/tsBSS. Accessed 07 Mar. 2026.
Previous versions and publish date:
0.1 (2015-12-04 15:40), 0.2 (2016-09-06 23:44), 0.3.1 (2017-08-18 15:44), 0.3 (2017-07-03 11:56), 0.4.1 (2018-05-04 15:08), 0.4 (2017-11-17 11:52), 0.5.0 (2018-06-07 19:56), 0.5.1 (2018-06-25 16:28), 0.5.2 (2018-10-09 20:20), 0.5.3 (2019-09-03 18:00), 0.5.4 (2019-10-09 16:50), 0.5.5 (2019-10-14 10:40), 0.5.6 (2020-11-18 14:40), 0.5.7 (2021-04-01 23:40)
Other packages that cited tsBSS R package
View tsBSS citation profile
Other R packages that tsBSS depends, imports, suggests or enhances
Complete documentation for tsBSS
Functions, R codes and Examples using the tsBSS R package
Some associated functions: AMUSEasymp . AMUSEboot . AMUSEladle . FixNA . PVC . SOBIasymp . SOBIboot . SOBIladle . WeeklyReturnsData . bssvol-class . gFOBI . gJADE . gSOBI . lbtest . summary.tssdr . tsBSS-package . tssdr . vSOBI . 
Some associated R codes: AMUSEasymp.R . AMUSEboot.R . AMUSEladle.R . FixNA.R . LADLEinternal.R . PVC.R . SOBIasymp.R . SOBIboot.R . SOBIladle.R . gFOBI.R . gJADE.R . gSOBI.R . lagdir.R . lbtest.R . summary.tssdr.R . tssdr.R . vSOBI.R .  Full tsBSS package functions and examples
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