Simultaneous Change-Point and Factor Analysis

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


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Reference manual

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install.packages("factorcpt")

0.1.2 by Haeran Cho, 2 years ago


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


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