gdpc

Generalized Dynamic Principal Components

Last update: 19 November 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.1.3, 1.0.0, 1.0.1, 1.0.2, 1.0.3, 1.1.0, 1.1.1, 1.1.2, 1.1.3, 1.1.4

Source code repository: https://github.com/cran/gdpc

Description

Functions to compute the Generalized Dynamic Principal Components introduced in Peña and Yohai (2016) <doi:10.1080/01621459.2015.1072542>. The implementation includes an automatic procedure proposed in Peña, Smucler and Yohai (2020) <doi:10.18637/jss.v092.c02> for the identification of both the number of lags to be used in the generalized dynamic principal components as well as the number of components required for a given reconstruction accuracy.

Cites work

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