GTSPCA : Generalized Principal Component Analysis for Non-Stationary Vector Time Series

Alshammri, Fayed Awdah M (2020) GTSPCA : Generalized Principal Component Analysis for Non-Stationary Vector Time Series. University of Strathclyde, Glasgow.

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    Abstract

    This function is used to segment a stationary/nonstationary multivariate series into n uncorrelated subseries. Notice that the following libraries are needed to be installed before using the GTSPCA function: library(roll);library(expm)