Simultaneous Change-Point and Factor Analysis

Identifies change-points in the common and the idiosyncratic components via factor modelling.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.1.2 by Haeran Cho, 4 years ago

Browse source code at

Authors: Haeran Cho [aut, cre] , Matteo Barigozzi [aut] , Piotr Fryzlewicz [aut]

Documentation:   PDF Manual  

GPL-2 license

Imports Rcpp, foreach, parallel, iterators, fields, doParallel

Suggests RcppArmadillo

Linking to Rcpp, RcppArmadillo

See at CRAN