R Package

RMT4DS

Random matrix tools for data scientists.

• This package provides functions related to the general Marchenko-Pastur distribution and Tracy-Widom distribution, along with tools for estimation and inference in general spiked covariance matrix and signal-plus-noise models.
• Install from CRAN or GitHub: library(devtools) devtools::install_github("xcding1212/RMT4DS/RMT4DS")
• Reference manual for RMT4DS
• User's guide to the R package RMT4DS

R Package

Sie2nts

Sieve methods for non-stationary time series.

• This package provides tools for estimation, inference, and prediction for non-stationary time series using sieve methods.
• Install from CRAN or GitHub: library(devtools) devtools::install_github("xcding1212/Sie2nts/Sie2nts")
• Reference manual for Sie2nts
• User's guide to the R package Sie2nts
• A Python counterpart is available upon request. A related notebook is available here: Sieve methods in time series.

R Package

SIMle

Estimation and simultaneous inference for nonlinear and non-stationary time series regression.

• This package provides functions for estimation and inference in nonlinear and non-stationary time series regression using sieve methods and bootstrap procedures.
• Install from CRAN or GitHub: library(devtools) devtools::install_github("xcding1212/SIMle/SIMle")
• Reference manual for SIMle
• User's guide to the R package SIMle

R Package

UHDtst

Two-sample testing for covariance matrices in high dimension.

• This package provides functions for testing covariance matrices in high dimensions.
• Install from GitHub: library(devtools) devtools::install_github("xcding1212/UHDtst/UHDtst")
• User's guide to the R package UHDtst