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factorcpt (version 0.1.2)

Simultaneous Change-Point and Factor Analysis

Description

Identifies change-points in the common and the idiosyncratic components via factor modelling.

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Version

Install

install.packages('factorcpt')

Monthly Downloads

31

Version

0.1.2

License

GPL-2

Maintainer

Haeran Cho

Last Published

December 26th, 2016

Functions in factorcpt (0.1.2)

func_coef

Haar wavelet coefficients
common.seg

Multiple change-point detection for the common components
get.factor.model

Factor model estimation via Principal Component Analysis
factor.seg.alg

Simultaneous multiple change-point and factor analysis for high-dimensional time series
get.gg

Data-driven selection of the average block size
idio.seg

Multiple change-point detection for the idiosyncratic components
idio.null.stat

Threshold selection for the idiosyncratic components
func_input

Haar wavelet-based transform
func_input_on

Haar wavelet-based diagonal transform
common.null.stat

Threshold selection for the common components
post.cpts.analysis

Display the results from change-point analysis and factor modelling
make.tree

Growing a binary tree for change-point analysis
tri.kern

Trapezoidal shape taper