Segmenting Multiple Time Series by Contemporaneous Linear
Transformation
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Documentation for package ‘PCA4TS’ version 0.1
Help Pages
| permutationFDR | Permutation Using the FDR Method |
| permutationMax | Permutation Using the Maximum Cross Correlation Method |
| returns | Daily returns of six stocks |
| segmentTS | Segment Multivariate Time Series |
| segmentVOL | Segment Multivariate Volatility Processes |