R-universe - xcding1212 (Xiucai Ding)

Sie2nts - Sieve Methods for Non-Stationary Time Series

We provide functions for estimation and inference of locally-stationary time series using the sieve methods and bootstrapping procedure. In addition, it also contains functions to generate Daubechies and Coiflet wavelet by Cascade algorithm and to process data visualization.

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2.48 score 1 dependents 4 scripts 245 downloads

SIMle - Estimation and Inference for General Time Series Regression

We provide functions for estimation and inference of nonlinear and non-stationary time series regression using the sieve methods and bootstrapping procedure.

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2.30 score 6 scripts 251 downloads

RMT4DS - Computation of Random Matrix Models

We generate random variables following general Marchenko-Pastur distribution and Tracy-Widom distribution. We compute limits and distributions of eigenvalues and generalized components of spiked covariance matrices. We give estimation of all population eigenvalues of spiked covariance matrix model. We give tests of population covariance matrix. We also perform matrix denoising for signal-plus-noise model.

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2.00 score 3 scripts 246 downloads