ctmva
Continuous-Time Multivariate Analysis
Biplab Paul, Philip Tzvi Reiss
Last update: 6 February 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.1.0, 1.0, 1.2.0, 1.3.0, 1.4.0
Implements a basis function or functional data analysis framework for several techniques of multivariate analysis in continuous-time setting. Specifically, we introduced continuous-time analogues of several classical techniques of multivariate analysis, such as principal component analysis, canonical correlation analysis, Fisher linear discriminant analysis, K-means clustering, and so on. Details are in Biplab Paul, Philip T. Reiss and Erjia Cui (2023) "Continuous-time multivariate analysis" <doi:10.48550/arXiv.2307.09404>.
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