Hi All, I need to apply the Min/Max Autocorrealtion Analysis (MAFA) and Dynamic factor Analysis (DFA) to a short, not stationary time series. These methods have been programmed in R (there is a chapter in one of Zuur books) but now it seems that there are not packages to do so (at least for MAFA). Can anyone help me?
Thank you in advance.
Hi Valentina,
There is a stable R package for multivariate time series analysis, including DFA. It is called MARSS - it github page: https://github.com/nwfsc-timeseries/MARSS. There are also some package that are in development on Bayesian versions of DFA, e.g. bayesDFA, atsar, greta. As for MAFA I am not aware of a package but check this paper and their appendix(supplement) - https://www.alr-journal.org/articles/alr/abs/2009/02/alr014-09/alr014-09.html
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