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

Functionality for automatically selecting which principal components to keep for detecting changes in the mean and/or covariance matrix. The choice of principal axes to project data onto is tailored to a normal state covariance matrix and a customizable distribution over relevant change scenarios. Both regular PCA and dynamic PCA can be handled.

Getting started

Package details

AuthorMartin Tveten
MaintainerMartin Tveten <[email protected]>
LicenseMIT + file LICENSE
Version0.0.0.9001
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("Tveten/tpca")
Tveten/tpca documentation built on May 13, 2019, 9:50 p.m.