factorcpt: Simultaneous Change-Point and Factor Analysis

Identifies change-points in the common and the idiosyncratic components via factor modelling.

Package details

AuthorHaeran Cho [aut, cre], Matteo Barigozzi [aut], Piotr Fryzlewicz [aut]
MaintainerHaeran Cho <[email protected]>
LicenseGPL-2
Version0.1.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("factorcpt")

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factorcpt documentation built on May 2, 2019, 8:15 a.m.