freqdom
Frequency Domain Based Analysis: Dynamic PCA
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 <doi:10.1111/rssb.12076>.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Kidzinski L. <lukasz.kidzinski@stanford.edu>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Hormann",
family = "S.",
role = "aut"),
person(given = "Kidzinski",
family = "L.",
role = c("aut", "cre"),
email = "lukasz.kidzinski@stanford.edu"))
as necessary.
CRAN incoming feasibility
Maintainer: ‘Kidzinski L. <lukasz.kidzinski@stanford.edu>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Hormann",
family = "S.",
role = "aut"),
person(given = "Kidzinski",
family = "L.",
role = c("aut", "cre"),
email = "lukasz.kidzinski@stanford.edu"))
as necessary.
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 30, 2026
CRAN incoming feasibility
Maintainer: ‘Kidzinski L. <lukasz.kidzinski@stanford.edu>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Hormann",
family = "S.",
role = "aut"),
person(given = "Kidzinski",
family = "L.",
role = c("aut", "cre"),
email = "lukasz.kidzinski@stanford.edu"))
as necessary.
CRAN incoming feasibility
Maintainer: ‘Kidzinski L. <lukasz.kidzinski@stanford.edu>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Hormann",
family = "S.",
role = "aut"),
person(given = "Kidzinski",
family = "L.",
role = c("aut", "cre"),
email = "lukasz.kidzinski@stanford.edu"))
as necessary.
ERROR 11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Kidzinski L. <lukasz.kidzinski@stanford.edu>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Hormann",
family = "S.",
role = "aut"),
person(given = "Kidzinski",
family = "L.",
role = c("aut", "cre"),
email = "lukasz.kidzinski@stanford.edu"))
as necessary.
CRAN incoming feasibility
Maintainer: ‘Kidzinski L. <lukasz.kidzinski@stanford.edu>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Hormann",
family = "S.",
role = "aut"),
person(given = "Kidzinski",
family = "L.",
role = c("aut", "cre"),
email = "lukasz.kidzinski@stanford.edu"))
as necessary.
examples
Running examples in ‘freqdom-Ex.R’ failed The error most likely occurred in: > ### Name: dpca > ### Title: Compute Dynamic Principal Components and dynamic Karhunen Loeve > ### extepansion > ### Aliases: dpca > ### Keywords: DPCA > > ### ** Examp ...[truncated]... id permissions' Traceback: 1: eigen(M) 2: close.eigen(F$operators[, , theta], Prev) 3: freqdom.eigen(F) 4: dpca.filters(res$spec.density, q = q, Ndpc = Ndpc) 5: dpca(X, q = 5, Ndpc = 1) An irrecoverable exception occurred. R is aborting now ...