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A Julia package for multivariate statistics and data analysis (e.g. dimension reduction)
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Multivariate Statistics

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

MultivariateStats release MultivariateStats nightly Coverage Status Build Status

Note: This package is aimed to replace DimensionalityReduction.jl, and to provide more multivariate analysis techniques.



  • Linear Least Square Regression
  • Ridge Regression
  • Data Whitening
  • Principal Components Analysis (PCA)
  • Canonical Correlation Analysis (CCA)
  • Classical Multidimensional Scaling (MDS)
  • Linear Discriminant Analysis (LDA)
  • Multiclass LDA
  • Independent Component Analysis (ICA), FastICA

Future Plan

  • Probabilistic PCA (PPCA)
  • Factor Analysis
  • Partial Least Square (PLS)
  • Other algorithms for ICA (e.g. JADE)


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