PCA4TS

R package PCA4TS: Segmenting Multiple Time Series by Contemporaneous Linear Transformation. 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.

Keywords for this software

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References in zbMATH (referenced in 2 articles )

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  1. Klaus Nordhausen, Markus Matilainen, Jari Miettinen, Joni Virta, Sara Taskinen: Dimension Reduction for Time Series in a Blind Source Separation Context Using R (2021) not zbMATH
  2. Chang, Jinyuan; Yao, Qiwei; Zhou, Wen: Testing for high-dimensional white noise using maximum cross-correlations (2017)