RMT4DS (Random matrix tools for data scientists)

  • This is an R package containing functions related to general Marchenko–Pastur distribution and Tracy-Widom distribution. We also provide tools for estimation and inference in the general spiked covariance matrix model and signal-plus-noise model.
  • It can be either installed from CRAN or Github via
    library(devtools)
    devtools::install_github("xcding1212/RMT4DS/RMT4DS")
  • The reference manual can be found on CRAN Reference manual for 'RMT4DS'
  • A user's guide can be found here A user's guide to the R package ‘RMT4DS’

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    Sie2nts (Sieve method for non-stationary time series)

  • This is an R package providing tools for estimation, inference and prediction related to non-stationary time series using Sieve method.
  • It can be either installed from CRAN or Github via
    library(devtools)
    devtools::install_github("xcding1212/Sie2nts/Sie2nts")
  • The reference manual can be found on CRAN Reference manual for 'Sie2nts'
  • A user's guide can be found here A user's guide to the R package ‘Sie2nts’
  • The counterpart of a Python package is also available upon request and the jupiter notebook can be found here Sieve methods in time series

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    SIMle (Estimation and simultaneous inference for nonlinear and non-stationary time series regression)

  • This is an R package providing functions for estimation and inference of nonlinear and non-stationary time series regression using the sieve methods and bootstrapping procedure.
  • It can be either installed from CRAN or Github via
    library(devtools)
    devtools::install_github("xcding1212/SIMle/SIMle")
  • The reference manual can be found on CRAN Reference manual for 'SIMle'
  • A user's guide can be found here A user's guide to the R package ‘SIMle’

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    UHDtst (Two sample test for covariance matrices in high dimension)

  • This is an R package providing functions for testing covariance matrices in high dimension.
  • It can be either installed from Github via
    library(devtools)
    devtools::install_github("xcding1212/SIMle/SIMle")
  • A user's guide can be found here A user's guide to the R package ‘UHDtst’