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sdrt: Estimating the Sufficent Dimension Reduction Subspaces in Time Series
The Comprehensive R Archive Network (CRAN)
03/28/2024
Abstract
The sdrt() function is designed for estimating subspaces for Sufficient Dimension Reduction (SDR) in time series, with a specific focus on the Time Series Central Mean subspace (TS-CMS). The package employs the Fourier transformation method proposed by Samadi and De Alwis (2023) <doi:10.48550/arXiv.2312.02110> and the Nadaraya-Watson kernel smoother method proposed by Park et al. (2009) <doi:10.1198/jcgs.2009.08076> for estimating the TS-CMS. The package provides tools for estimating distances between subspaces and includes functions for selecting model parameters using the Fourier transformation method.
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Details
- Title
- sdrt: Estimating the Sufficent Dimension Reduction Subspaces in Time Series
- Publication Details
- The Comprehensive R Archive Network (CRAN)
- Resource Type
- Code
- Identifiers
- 99380585597306600
- Academic Unit
- Mathematics and Statistics
- Language
- English