Package: TensorPreAve 1.1.0
Weilin Chen
TensorPreAve: Rank and Factor Loadings Estimation in Time Series Tensor Factor Models
A set of functions to estimate rank and factor loadings of time series tensor factor models. A tensor is a multidimensional array. To analyze high-dimensional tensor time series, factor model is a major dimension reduction tool. 'TensorPreAve' provides functions to estimate the rank of core tensors and factor loading spaces of tensor time series. More specifically, a pre-averaging method that accumulates information from tensor fibres is used to estimate the factor loading spaces. The estimated directions corresponding to the strongest factors are then used for projecting the data for a potentially improved re-estimation of the factor loading spaces themselves. A new rank estimation method is also implemented to utilizes correlation information from the projected data. See Chen and Lam (2023) <arxiv:2208.04012> for more details.
Authors:
TensorPreAve_1.1.0.tar.gz
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TensorPreAve_1.1.0.tgz(r-4.4-any)TensorPreAve_1.1.0.tgz(r-4.3-any)
TensorPreAve_1.1.0.tar.gz(r-4.5-noble)TensorPreAve_1.1.0.tar.gz(r-4.4-noble)
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TensorPreAve.pdf |TensorPreAve.html✨
TensorPreAve/json (API)
# Install 'TensorPreAve' in R: |
install.packages('TensorPreAve', repos = c('https://william-chenwl.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/william-chenwl/tensorpreave/issues
- equal_weight_tensor - Equal weight Fama-French portfolio returns data.
- value_weight_tensor - Value weighted Fama-French portfolio returns data.
Last updated 2 years agofrom:205bbbf7f7. Checks:OK: 7. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 22 2024 |
R-4.5-win | OK | Nov 22 2024 |
R-4.5-linux | OK | Nov 22 2024 |
R-4.4-win | OK | Nov 22 2024 |
R-4.4-mac | OK | Nov 22 2024 |
R-4.3-win | OK | Nov 22 2024 |
R-4.3-mac | OK | Nov 22 2024 |
Exports:bs_cor_rankiter_projpre_eigenplotpre_estrank_factors_esttensor_data_gen
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Bootstrap Rank Estimation. | bs_cor_rank |
Equal weight Fama-French portfolio returns data. | equal_weight_tensor |
Iterative Projection Estimator. | iter_proj |
Eigenvalue Plot of a Random Sample | pre_eigenplot |
Pre-Averaging Estimator | pre_est |
Rank and Factor Loadings Estimation | rank_factors_est |
Tensor time series data generation. | tensor_data_gen |
Value weighted Fama-French portfolio returns data. | value_weight_tensor |