R packages by cspun

STFTS - Statistical Tests for Functional Time Series

A collection of statistical hypothesis tests of functional time series. While it will include more tests when the related literature are enriched, this package contains the following key tests: functional stationarity test, functional trend stationarity test, functional unit root test, to name a few.

Last updated 4 years ago

1.00 score 1 scripts 234 downloads

rDecode - Descent-Based Calibrated Optimal Direct Estimation

Algorithms for solving a self-calibrated l1-regularized quadratic programming problem without parameter tuning. The algorithm, called DECODE, can handle high-dimensional data without cross-validation. It is found useful in high dimensional portfolio selection (see Pun (2018) <https://ssrn.com/abstract=3179569>) and large precision matrix estimation and sparse linear discriminant analysis (see Pun and Hadimaja (2019) <https://ssrn.com/abstract=3422590>).

Last updated 5 years ago

1.00 score 139 downloads