Introduction

Metran is a package for performing timeseries analysis on multiple timeseries using dynamic factor models.

When modeling multiple groundwater time series within the same hydrological system, it often appears that these components show distinct correlations between locations. Usually large part of the correlation is caused by common input stresses like precipitation and evapotranspiration, which shows up within the deterministic components of the models.

The residual components of the univariate TFN models are often correlated as well. This means that there is spatial correlation which has not been captured by the deterministic component, e.g. because of errors in common input data or due to simplification of the hydrological model leading to misspecification of the deterministic component. We can exploit these correlations by modeling the series simultaneously with a dynamic factor model. Dynamic factor modeling (DFM) is a multivariate timeseries analysis technique used to describe the variation among many variables in terms of a few underlying but unobserved variables called factors.

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