Segmenting Multiple Time Series by Contemporaneous Linear Transformation

To seek for a contemporaneous linear transformation for a multivariate time series such that the transformed series is segmented into several lower-dimensional subseries, and those subseries are uncorrelated with each other both contemporaneously and serially.


Reference manual

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0.1 by Bin Guo, 6 years ago

Browse source code at

Authors: Jinyuan Chang , Bin Guo and Qiwei Yao

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-2 license

Imports tseries

See at CRAN