gdpc: Generalized Dynamic Principal Components

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.

Package details

AuthorDaniel Peña <>, Ezequiel Smucler <>, Victor Yohai <>
MaintainerEzequiel Smucler <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the gdpc package in your browser

Any scripts or data that you put into this service are public.

gdpc documentation built on Feb. 23, 2020, 5:06 p.m.