[R] rank reduction method in time series analysis?
spencer.graves at prodsyse.com
Sun May 24 04:31:17 CEST 2009
Have you looked at Pfaff (2008) Analysis of Integrated and
Cointegrated Time Series with R, 2nd ed. (Springer)?
I have not read this book, but the title and table of contents
sounds like it contains many alternative answers to your question, with
the "best" among those being determined by aspects of your application
that you did not mention. Moreover, the author has made substantive
contributions to R, as witnessed by the following:
Pfaff <- RSiteSearch.function("Pfaff")
This identified 105 help pages in 5 packages containing the name
Hope this helps.
> Hi all,
> Suppose I have 100 simultaneous time series, what's the best
> statistical procedure to figure out a transformation of the data, and
> see if we could squeeze most of the information into a few transformed
> time series?
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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