High Dimensional Time Series Analysis Tools R package HDTSA version 1.0.6 CRAN Task View: TimeSeries (https://CRAN.R-project.org/view=TimeSeries) An implementation for high-dimensional time series analysis methods, including factor model for vector time series proposed by Lam and Yao (2012) <doi:10.1214/12-AOS970> and Chang, Guo and Yao (2015) <doi:10.1016/j.jeconom.2015.03.024>, martingale difference test proposed by Chang, Jiang and Shao (2023) <doi:10.1016/j.jeconom.2022.09.001>, principal component analysis for vector time series proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>, cointegration analysis proposed by Zhang, Robinson and Yao (2019) <doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2022) <doi:10.1093/biomet/asab034>, white noise tests proposed by Chang, Yao and Zhou (2017) <doi:10.1093/biomet/asw066> and Chang et al. (2026+), CP-decomposition for matrix time series proposed by Chang et al. (2023) <doi:10.1093/jrsssb/qkac011> and Chang et al. (2026+) <doi:10.48550/arXiv.2410.05634>, and statistical inference for spectral density matrix proposed by Chang et al. (2025) <doi:10.1080/01621459.2025.2468013>. Software Depends: R (>= 3.5.0) Imports: stats, Rcpp, clime, sandwich, methods, MASS, geigen, jointDiag, vars, forecast LinkingTo: RcppArmadillo, RcppEigen, Rcpp Suggests: knitr Chen Lin <linchen@smail.swufe.edu.cn> Comprehensive R Archive Network (CRAN) Jinyuan Chang [aut], Jing He [aut], Chen Lin [aut, cre], Qiwei Yao [aut] GPL-3 2026-04-03 application/tgz https://CRAN.R-project.org/package=HDTSA doi:10.32614/CRAN.package.HDTSA