GTSPCA: Generalized Principal Component Analysis for Non-Stationary Vector Time Series

Fayed Awdah M Alshammri

GTSPCA: Generalized Principal Component Analysis for Non-Stationary Vector Time Series

Fayed Awdah M Alshammri

Mathematics And Statistics

Research output: Other contribution

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Abstract

This function is used to segment a stationary/nonstationary multivariate series into n uncorrelated subseries. Notice that the following libraries are needed to be installed before using the GTSPCA function: library(roll);library(expm)

Original language	English
Type	Developing R Package
Media of output	R
Publisher	University of Strathclyde
Number of pages	1
Place of Publication	Glasgow
Publication status	Published - 10 Mar 2020

Keywords

GTSPCA

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Alshammri-2020-GTSPCA Generalized-Principal-Component-Analysis-for-NonFinal published version, 94.8 KBLicence: GNU GPL 2

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title = "GTSPCA: Generalized Principal Component Analysis for Non-Stationary Vector Time Series",

abstract = "This function is used to segment a stationary/nonstationary multivariate series into n uncorrelated subseries. Notice that the following libraries are needed to be installed before using the GTSPCA function: library(roll);library(expm)",

keywords = "GTSPCA",

author = "Alshammri, {Fayed Awdah M}",

note = "Alshammri, F. (2020). GTSPCA: Generalized Principal Component Analysis for Non-Stationary Vector Time Series. R package version 0.1.0.",

year = "2020",

month = mar,

day = "10",

language = "English",

publisher = "University of Strathclyde",

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PY - 2020/3/10

Y1 - 2020/3/10

N2 - This function is used to segment a stationary/nonstationary multivariate series into n uncorrelated subseries. Notice that the following libraries are needed to be installed before using the GTSPCA function: library(roll);library(expm)

AB - This function is used to segment a stationary/nonstationary multivariate series into n uncorrelated subseries. Notice that the following libraries are needed to be installed before using the GTSPCA function: library(roll);library(expm)

KW - GTSPCA

M3 - Other contribution

PB - University of Strathclyde

CY - Glasgow

ER -

GTSPCA: Generalized Principal Component Analysis for Non-Stationary Vector Time Series

Abstract

Keywords

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