PCA4TS: Segmenting Multiple Time Series by Contemporaneous Linear Transformation
Version 0.1

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.

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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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("PCA4TS")

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

Functions

permutationFDR Man page Source code
permutationMax Man page Source code
returns Man page
segmentTS Man page Source code
segmentVOL Man page Source code

Files

src
src/thresh.f95
src/segment.f95
src/volsegment.f95
NAMESPACE
data
data/returns.rda
R
R/permutationMax.R
R/segmentTS.R
R/permutationFDR.R
R/firstlib.R
R/segmentVOL.R
MD5
DESCRIPTION
man
man/permutationMax.Rd
man/returns.Rd
man/segmentTS.Rd
man/segmentVOL.Rd
man/permutationFDR.Rd
PCA4TS documentation built on May 19, 2017, 11:23 p.m.