r-ctmva

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>.