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.
|Maintainer||Martin Tveten <[email protected]>|
|License||MIT + file LICENSE|
|Package repository||View on GitHub|
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