PCA4TS: Segmenting Multiple Time Series by Contemporaneous Linear Transformation

To seek for a contemporaneous linear transformation for a multivariate time series such that the transformed series is segmented into several lower-dimensional subseries, and those subseries are uncorrelated with each other both contemporaneously and serially.

Getting started

Package details

AuthorJinyuan Chang, Bin Guo and Qiwei Yao
MaintainerBin Guo <guobin1987@pku.edu.cn>
Package repositoryView on CRAN
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PCA4TS documentation built on May 2, 2019, 9:42 a.m.