Functions, Classes & Methods for estimation, prediction, and
  simulation (bootstrap) of Variable Length Markov Chain ('VLMC') Models.

Models categorical time series through a Markov Chain when a) covariates are predictors for transitioning into the next state/symbol and b) when the dependence in the past states has variable length. The probability of transitioning to the next state in the Markov Chain is defined by a multinomial regression whose parameters depend on the past states of the chain and, moreover, the number of states in the past needed to predict the next state also depends on the observed states themselves. See Zambom, Kim, and Garcia (2022) <doi:10.1111/jtsa.12615>.

A framework to infer causality on a pair of time series of real numbers based on variable-lag Granger causality and transfer entropy. Typically, Granger causality and transfer entropy have an assumption of a fixed and constant time delay between the cause and effect. However, for a non-stationary time series, this assumption is not true. For example, considering two time series of velocity of person A and person B where B follows A. At some time, B stops tying his shoes, then running to catch up A. The fixed-lag assumption is not true in this case. We propose a framework that allows variable-lags between cause and effect in Granger causality and transfer entropy to allow them to deal with variable-lag non-stationary time series. Please see Chainarong Amornbunchornvej, Elena Zheleva, and Tanya Berger-Wolf (2021) <doi:10.1145/3441452> when referring to this package in publications.

'RcppArmadillo' implementation for the Matlab code of the 'Variational Mode Decomposition' and 'Two-Dimensional Variational Mode Decomposition'. For more information, see (i) 'Variational Mode Decomposition' by K. Dragomiretskiy and D. Zosso in IEEE Transactions on Signal Processing, vol. 62, no. 3, pp. 531-544, Feb.1, 2014, <doi:10.1109/TSP.2013.2288675>; (ii) 'Two-Dimensional Variational Mode Decomposition' by Dragomiretskiy, K., Zosso, D. (2015), In: Tai, XC., Bae, E., Chan, T.F., Lysaker, M. (eds) Energy Minimization Methods in Computer Vision and Pattern Recognition. EMMCVPR 2015. Lecture Notes in Computer Science, vol 8932. Springer, <doi:10.1007/978-3-319-14612-6_15>.