func_input_on


  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


Takes the Haar wavelet coefficients of multiple time series as an input and
applies the diagonal transforms proposed in Barigozzi, Cho & Fryzlewicz (2016), <code>g_j</code>,
which turns <code>n</code>-dimensional time series to <code>n</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_on function


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

func_input_on: Haar wavelet-based diagonal transform

Description

Usage

Arguments

Value