Tveten/tailorPCA: A function for tailoring PCA to change detection

Functionality for tailoring the choice of which principal components to keep when detection of changepoints in the mean vector or covariance matrix is the aim. The choice of principal axes to project data onto is based on a normal state covariance matrix and a customizable distribution over relevant change scenarios.

Getting started

Package details

AuthorMartin Tveten
MaintainerMartin Tveten <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
Tveten/tailorPCA documentation built on March 22, 2019, 2:44 a.m.