PCA4TS: Segmenting Multiple Time Series by Contemporaneous Linear Transformation

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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.

Author
Jinyuan Chang, Bin Guo and Qiwei Yao
Date of publication
2015-08-05 17:21:32
Maintainer
Bin Guo <guobin1987@pku.edu.cn>
License
GPL-2
Version
0.1

View on CRAN

Man pages

permutationFDR
Permutation Using the FDR Method
permutationMax
Permutation Using the Maximum Cross Correlation Method
returns
Daily returns of six stocks
segmentTS
Segment Multivariate Time Series
segmentVOL
Segment Multivariate Volatility Processes

Files in this package

PCA4TS
PCA4TS/src
PCA4TS/src/thresh.f95
PCA4TS/src/segment.f95
PCA4TS/src/volsegment.f95
PCA4TS/NAMESPACE
PCA4TS/data
PCA4TS/data/returns.rda
PCA4TS/R
PCA4TS/R/permutationMax.R
PCA4TS/R/segmentTS.R
PCA4TS/R/permutationFDR.R
PCA4TS/R/firstlib.R
PCA4TS/R/segmentVOL.R
PCA4TS/MD5
PCA4TS/DESCRIPTION
PCA4TS/man
PCA4TS/man/permutationMax.Rd
PCA4TS/man/returns.Rd
PCA4TS/man/segmentTS.Rd
PCA4TS/man/segmentVOL.Rd
PCA4TS/man/permutationFDR.Rd