Multivariate Statistics

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

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

Functionalities

Available

• 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
• Probabilistic PCA
• Factor Analysis
• Kernel PCA

Future Plan

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

Resources

• Documentation: http://multivariatestatsjl.readthedocs.org/en/latest/index.html