Library

CVfn(parm::Matrix, X::Matrix, modelfn::Function, cvmetric::Function)

Cross-validation

LCCA(X::Matrix, Y::Matrix, τ::Int)

Linear Canonical Correlation Analysis between $X$ and $Y$ at lead time $τ$

Rsq(R::Matrix, X0::Matrix)

Explanation of variance R²

Rsq1(model::ModelObj, Xtest::Matrix, τ::Int)

Predictive R²

Rsq2(model::ModelObj, Xtest::Matrix, τ::Int)

Explanation of variance R²

Rsq3(model::ModelObj, Xtest::Matrix, τ::Int)

iota(model::ModelObj, iotafn::Function, jv::Vector, X0::Matrix, pos::Vector)

Iota

modelf(par::Vector, X::Matrix, modelfn::Function)

Find the components of $X$ using modelfn and parameters par. par[1] = $α$, par[2] = $τ$

omega(X::Matrix)

Spectral entropy

pca(par::Vector, X::Matrix, lagmax::Int)

Principal Components Analysis

prca(par::Vector, X::Matrix, lagmax::Int)

Predictable Components Analysis.

biplot(model::ModelObj, jv::Vector{Int}, Y::Matrix, label::Vector{Symbol})

Biplot

parzen(tau::OrdinalRange{Int64}, M::Int64)

Parzen filter

Helmert(n)

Calculate $n×n$ Helmert matrix

alpha(X::Matrix, α::Float64)

Apply alpha-transform without Helmert product

alphaTransform(X::Matrix, α::Float64)

Apply alpha-transform with Helmert product to $X$

clr(X::Matrix)

Centered logratio transform

ilr(X::Matrix)

Isometric logratio transform