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

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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 languageEnglish
TypeDeveloping R Package
Media of outputR
PublisherUniversity of Strathclyde
Number of pages1
Place of PublicationGlasgow
Publication statusPublished - 10 Mar 2020

Keywords

  • GTSPCA

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