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.

AuthorJinyuan Chang, Bin Guo and Qiwei Yao
Date of publication2015-08-05 17:21:32
MaintainerBin Guo <guobin1987@pku.edu.cn>
LicenseGPL-2
Version0.1

View on CRAN

Files

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

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