factorcpt: Simultaneous Change-Point and Factor Analysis

Haeran Cho, Piotr Fryzlewicz, Matteo Barigozzi

Research output: Non-textual formSoftware

Abstract

Identifies change-points in the common and the idiosyncratic components via factor modelling.
Original languageEnglish
PublisherCRAN
Publication statusPublished - 26 Dec 2016

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