PCA4TS (0.1)

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Segmenting Multiple Time Series by Contemporaneous Linear Transformation.

http://cran.r-project.org/web/packages/PCA4TS

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.

Maintainer: Bin Guo
Author(s): Jinyuan Chang, Bin Guo and Qiwei Yao

License: GPL-2

Uses: tseries

Released about 2 years ago.


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