francis-gagnon/multivariatestats.jl

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

Multivariate Statistics

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

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)