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
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- 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
- Chang, Jinyuan; Yao, Qiwei; Zhou, Wen: Testing for high-dimensional white noise using maximum cross-correlations (2017)