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.


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install.packages("PCA4TS")

0.1 by Bin Guo, 6 years ago


Browse source code at https://github.com/cran/PCA4TS


Authors: Jinyuan Chang , Bin Guo and Qiwei Yao


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-2 license


Imports tseries


See at CRAN