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.

Install the latest version of this package by entering the following in R:
AuthorJinyuan Chang, Bin Guo and Qiwei Yao
Date of publication2015-08-05 17:21:32
MaintainerBin Guo <guobin1987@pku.edu.cn>

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