factorcpt
Simultaneous Change-Point and Factor Analysis

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factorcpt: Simultaneous Change-Point and Factor Analysis

factorcpt: Simultaneous Change-Point and Factor Analysis

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

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Package details
AuthorHaeran Cho [aut, cre], Matteo Barigozzi [aut], Piotr Fryzlewicz [aut]
MaintainerHaeran Cho <haeran.cho@bristol.ac.uk>
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.

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