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Multivariate Statistics

A Julia package for multivariate statistics and data analysis (e.g. dimensionality reduction).

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Functionalities

Available

  • Linear Least Square Regression
  • Ridge Regression
  • Isotonic Regression
  • Data Whitening
  • Principal Components Analysis (PCA)
  • Canonical Correlation Analysis (CCA)
  • Classical Multidimensional Scaling (MDS)
  • Metric Multidimensional Scaling (mMDS)
  • Linear Discriminant Analysis (LDA)
  • Multi-class LDA
  • Independent Component Analysis (FastICA)
  • Probabilistic PCA
  • Factor Analysis
  • Kernel PCA

Future Plan

  • Partial Least Square (PLS)
  • Other algorithms for ICA (e.g. JADE)