/tensorTS

R package for autoregressive, reduced-rank, and factor models in time series.

Primary LanguageR

tensorTS

Factor and Autoregressive Models for Tensor Time Series

The R package tensorTS includes methods in our recent papers, including Factor and Autoregressive Models for High-Dimensional tensor Time Series. To have more details please see the manual file for the full documentation.

Installation

You can install the released version of tensorTS from CRAN with:

install.packages("tensorTS")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("ZeBang/tensorTS")