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
Config/pak/sysreqs: make
Repository: https://jasonjfoster.r-universe.dev
Date/Publication: 2026-06-19 22:26:07 UTC
RemoteUrl: https://github.com/jasonjfoster/rolleigen
RemoteRef: HEAD
RemoteSha: 45a163ec96c894402169cad21090852ce44c0240
NeedsCompilation: yes
Packaged: 2026-06-19 23:09:55 UTC; root
Author: Jason Foster [aut, cre]
Maintainer: Jason Foster <jason.j.foster@gmail.com>