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factorcpt
- Referenced in 10 articles [sw18260]
- point and factor analysis for high-dimensional time series. We propose the first comprehensive treatment ... high-dimensional time series factor models with multiple change-points in their second-order structure ... second-order structure of a high-dimensional time series, into the (relatively easier) problem ... point detection in the means of high-dimensional panel data. Our methodology circumvents the difficult...
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ARfit
- Referenced in 38 articles [sw00046]
- parameters of AR models from given time series data with a stepwise least squares algorithm ... particular when the data are high-dimensional. ARfit modules construct approximate confidence intervals ... assessed. Dynamical characteristics of the modeled time series can be examined by means...
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InspectChangepoint
- Referenced in 5 articles [sw15611]
- method for estimating changepoints in high-dimensional time series. Multiple changepoints are estimated using...
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SSA Toolbox
- Referenced in 3 articles [sw13530]
- algorithm linearly factorizes a high-dimensional time series into stationary and non-stationary components...
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fabisearch
- Referenced in 1 article [sw38226]
- fabisearch: Change Point Detection in High-Dimensional Time Series Networks. Implementation of the Factorized Binary ... clustering) structure of multivariate high-dimensional time series. The method is motivated by the detection ... estimating a network between stationary multivariate time series, net.3dplot(), for plotting the estimated functional connectivity ... extensively tested on simulated multivariate high-dimensional time series data and fMRI data. For details...
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HyperTools
- Referenced in 2 articles [sw18876]
- Bishop, 1999) to embed high-dimensional datasets in a lower-dimensional space, and plot ... trajectories for time series of high-dimensional observations. The trajectories may be plotted as interactive...
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MpermutMax
- Referenced in 1 article [sw38468]
- both stationary and non-stationary multivariate time series. This method extended the Maximum Cross-Correlation ... account for non-stationary high-dimensional time series. Notice that the following library is needed...
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MSMBuilder
- Referenced in 2 articles [sw23802]
- building statistical models of high-dimensional time-series data. It is designed with a particular...
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WeightedPortTest
- Referenced in 12 articles [sw12429]
- Weighted Portmanteau Statistics for Time Series Goodness-of-Fit Testing’ accepted for publication ... Statistical Association: We exploit ideas from high-dimensional data analysis to derive new portmanteau tests...
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COVAIN
- Referenced in 1 article [sw10556]
- toolbox for uni- and multivariate statistics, time- series and correlation network analysis and inverse estimation ... corresponding phenotypes. As metabolomics data are high-dimensional, statistical data analysis is complex. No single ... multivariate statistical analysis, Granger time-series analysis, pathway mapping, correlation network topology analysis and visualization...