Type: Package
Package: rolleigen
Title: Rolling Eigenanalysis
Version: 1.0.0
Authors@R: 
    person("Jason", "Foster", , "jason.j.foster@gmail.com", role = c("aut", "cre"))
Description: Fast and efficient computation of rolling and expanding
    eigenanalysis for time-series data. The 'rolleigen' package decomposes
    the covariance matrix of the explanatory variables into eigenvalues
    and eigenvectors to perform principal component analysis (Pearson,
    1901, <doi:10.1080/14786440109462720>; Hotelling, 1933,
    <doi:10.1037/h0071325>) and principal component regression (Massy,
    1965, <doi:10.1080/01621459.1965.10480787>) over rolling and expanding
    windows. For each window, the eigenvalues and eigenvectors are
    computed from the covariance matrix and, optionally, ordered from
    largest to smallest to summarize the directions of greatest variation
    in the data. A subset of leading components is then used to fit a
    regression that mitigates collinearity in the explanatory variables.
    Use cases include dimensionality reduction, factor extraction, and
    regression on collinear explanatory variables. The package supports
    rolling and expanding windows, weights, and handling of missing values
    via the min_obs, complete_obs, and na_restore arguments. The
    implementation uses the online and offline algorithms from the 'roll'
    package to compute rolling and expanding cross-products efficiently,
    with parallelism across columns and windows provided by
    'RcppParallel'.
License: GPL (>= 2)
URL: https://github.com/jasonjfoster/rolleigen
BugReports: https://github.com/jasonjfoster/rolleigen/issues
Depends: R (>= 3.5.0)
Imports: Rcpp, RcppParallel
Suggests: covr, pls, roll, testthat, zoo
LinkingTo: Rcpp, RcppArmadillo, RcppParallel, roll (>= 1.1.7)
Config/roxygen2/old_usage: TRUE
Config/roxygen2/version: 8.0.0
Encoding: UTF-8
SystemRequirements: GNU make
NeedsCompilation: yes
Packaged: 2026-06-13 18:07:31 UTC; jason
Author: Jason Foster [aut, cre]
Maintainer: Jason Foster <jason.j.foster@gmail.com>
Repository: CRAN
Date/Publication: 2026-06-19 16:10:02 UTC
Built: R 4.5.2; aarch64-apple-darwin20; 2026-06-19 20:10:41 UTC; unix
Archs: rolleigen.so.dSYM
