Type: Package
Package: rolleigen
Title: Rolling Eigenanalysis
Version: 1.0.1
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 the
    largest to smallest eigenvalue 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: 8.1.1
Encoding: UTF-8
SystemRequirements: GNU make
NeedsCompilation: yes
Packaged: 2026-10-11 17:54:47 UTC; jason
Author: Jason Foster [aut, cre]
Maintainer: Jason Foster <jason.j.foster@gmail.com>
Repository: CRAN
Date/Publication: 2026-10-11 18:20:02 UTC
