func_input


  Haar wavelet coefficients returned by <code><a rd-options="" href="/link/func_coef?package=factorcpt&version=0.1.2" data-mini-rdoc="factorcpt::func_coef">func_coef</a></code>
  

coef


  <code>n</code>-by-<code>n</code> matrix containing the sign of correlations between any pair of
  Haar wavelet coefficients in <code>coef</code>
  


Takes the Haar wavelet coefficients of multiple time series as an input and
applies the transforms proposed in Barigozzi, Cho & Fryzlewicz (2016), <code>g_j</code> and <code>h_j</code>,
which turns <code>n</code>-dimensional time series to <code>n(n+1)/2</code>-dimensional panel data.


internal

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

Haeran Cho

factorcpt

Simultaneous Change-Point and Factor Analysis

func_input function


  Haar wavelet coefficients returned by <code><a rd-options='' href='func_coef'>func_coef</a></code>
  

func_input: Haar wavelet-based transform

Description

Usage

Arguments

Value