tsBSS (0.3)

Tools for Blind Source Separation and Supervised Dimension Reduction for Time Series.


Different estimates are provided to solve the blind source separation problem for multivariate time series with stochastic volatility and supervised dimension reduction problem for multivariate time series.

Maintainer: Markus Matilainen
Author(s): Markus Matilainen, Christophe Croux, Jari Miettinen, Klaus Nordhausen, Hannu Oja, Sara Taskinen

License: GPL (>= 2)

Uses: ICtest, JADE, Rcpp, stochvol

Released over 2 years ago.