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factorcpt: Simultaneous Change-Point and Factor Analysis
Identifies change-points in the common and the idiosyncratic components via factor modelling.
Getting started
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Package details |
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| Author | Haeran Cho [aut, cre], Matteo Barigozzi [aut], Piotr Fryzlewicz [aut] |
| Maintainer | Haeran Cho <[email protected]> |
| License | GPL-2 |
| Version | 0.1.2 |
| Package repository | View on CRAN |
| Installation |
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