factorcpt: Simultaneous Change-Point and Factor Analysis

Haeran Cho, Piotr Fryzlewicz, Matteo Barigozzi

Research output: Non-textual form › Software

Abstract

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

@misc{076ede6bbc8f4c9dba751de75e6cd592,

title = "factorcpt: Simultaneous Change-Point and Factor Analysis",

abstract = "Identifies change-points in the common and the idiosyncratic components via factor modelling.",

author = "Haeran Cho and Piotr Fryzlewicz and Matteo Barigozzi",

year = "2016",

month = dec,

day = "26",

language = "English",

publisher = "CRAN",

}

TY - ADVS

T1 - factorcpt: Simultaneous Change-Point and Factor Analysis

AU - Cho, Haeran

AU - Fryzlewicz, Piotr

AU - Barigozzi, Matteo

PY - 2016/12/26

Y1 - 2016/12/26

N2 - Identifies change-points in the common and the idiosyncratic components via factor modelling.

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

UR - https://cran.r-project.org/web/packages/factorcpt/index.html

M3 - Software

PB - CRAN

ER -