Ecce Signum: Multivariate Signal Extraction R Package
Disclaimer - This report is released to inform interested parties of research and to encourage discussion. The views expressed on statistical issues are those of the author and not necessarily those of the U.S. Census Bureau.
Installation
As the package is not yet on CRAN, it needs to be installed from GitHub:
library(devtools) # if you don't have devtools: install.packages("devtools")
install_github("tuckermcelroy/sigex")
Utility of Ecce Signum (i.e., SigEx)
- High frequency applications
- Refined models (canonical models)
- Forecasting
- Wiener-Kolmogorov signal extraction
- Standard errors
Authors
Tucker McElroy (United States Census Bureau) and James Livsey (United States Census Bureau)
License
TBD