func_input: Haar wavelet-based transform
In markov10000/factorcpt: Simultaneous Change-Point and Factor Analysis
Description
Usage
Arguments
Value
Author(s)
Description
Takes the Haar wavelet coefficients of multiple time series as an input and
applies the transforms proposed in Barigozzi, Cho & Fryzlewicz (2016), g_j and h_j,
which turns n-dimensional time series to n(n+1)/2-dimensional panel data.
Usage
1
func_input(coef, sgn)
Arguments
coef
Haar wavelet coefficients returned by func_coef
sgn
n-by-n matrix containing the sign of correlations between any pair of
Haar wavelet coefficients in coef
Value
n(n+1)/2-dimensional panel of wavelet-transforms of input time series
Author(s)
Haeran Cho
markov10000/factorcpt documentation built on Feb. 4, 2022, 8:55 a.m.
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Description Usage Arguments Value Author(s)
Description
Takes the Haar wavelet coefficients of multiple time series as an input and
applies the transforms proposed in Barigozzi, Cho & Fryzlewicz (2016), g_j and h_j,
which turns n-dimensional time series to n(n+1)/2-dimensional panel data.
Usage
1 | func_input(coef, sgn)
|
Arguments
coef |
Haar wavelet coefficients returned by |
sgn |
|
Value
n(n+1)/2-dimensional panel of wavelet-transforms of input time series
Author(s)
Haeran Cho
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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