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 <>
LicenseMIT + file LICENSE
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
Tveten/tpca documentation built on June 10, 2021, 8:43 p.m.