MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Canonical link: https://rscholar.com/pkg/MTS

Ruey S. Tsay David Wood Jon Lachmann • View description and downloads View dependencies GitHub project

2014 Published

1.2.1 Version

0 Citations

1 Authors

Referenced by ⇅	Year
fsMTS: Feature Selection for Multivariate Time Series (Version 0.1.7)	2020
BayesBEKK: Bayesian Estimation of Bivariate Volatility Model (Version 0.1.1)	2019
SLBDD: Statistical Learning for Big Dependent Data (Version 0.0.4)	2021
StMoMo: Stochastic Mortality Modelling (Version 0.4.1)	2015
VARDetect: Multiple Change Point Detection in Structural VAR Models (Version 0.1.8)	2021
fable: Forecasting Models for Tidy Time Series (Version 0.4.1)	2019
mlmts: Machine Learning Algorithms for Multivariate Time Series (Version 1.1.2)	2022
multDM: Multivariate Version of the Diebold-Mariano Test (Version 1.1.4)	2018
tsBSS: Blind Source Separation and Supervised Dimension Reduction for Time Series (Version 1.0.0)	2015

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