factorcpt-package: Simultaneous multiple change-point and factor analysis for...
In factorcpt: Simultaneous Change-Point and Factor Analysis
Description
Details
Author(s)
References
Description
The package implements a two-stage methodology for consistent multiple change-point detection under factor modelling. It performs multiple change-point analysis on the common and idiosyncratic components separately, and thus automatically identifies their origins. The package also implements the Double CUSUM Binary Segmentation algorithm, which is proposed for multiple change-point detection in high-dimensional panel data with breaks in its mean.
Details
Package: factorcpt
Type: Package
Version: 0.1.2
Date: 2016-12-22
License: GPL (>= 2)
The main routines of the package are factor.seg.alg and func_dc.
Author(s)
Haeran Cho, Matteo Barigozzi, Piotr Fryzlewicz
Maintainer: Haeran Cho <haeran.cho@bristol.ac.uk>
References
M. Barigozzi, H. Cho and P. Fryzlewicz (2016) Simultaneous multiple change-point and factor analysis for high-dimensional time series, Preprint.
H. Cho (2016) Change-point detection in panel data via double CUSUM statistic. Electronic Journal of Statistics. 10: 2000-2038.
factorcpt documentation built on May 2, 2019, 8:15 a.m.
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Description Details Author(s) References
Description
The package implements a two-stage methodology for consistent multiple change-point detection under factor modelling. It performs multiple change-point analysis on the common and idiosyncratic components separately, and thus automatically identifies their origins. The package also implements the Double CUSUM Binary Segmentation algorithm, which is proposed for multiple change-point detection in high-dimensional panel data with breaks in its mean.
Details
| Package: | factorcpt |
| Type: | Package |
| Version: | 0.1.2 |
| Date: | 2016-12-22 |
| License: | GPL (>= 2) |
The main routines of the package are factor.seg.alg and func_dc.
Author(s)
Haeran Cho, Matteo Barigozzi, Piotr Fryzlewicz
Maintainer: Haeran Cho <haeran.cho@bristol.ac.uk>
References
M. Barigozzi, H. Cho and P. Fryzlewicz (2016) Simultaneous multiple change-point and factor analysis for high-dimensional time series, Preprint.
H. Cho (2016) Change-point detection in panel data via double CUSUM statistic. Electronic Journal of Statistics. 10: 2000-2038.
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