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>.

Author
Daniel Peña <daniel.pena@uc3m.es>, Ezequiel Smucler <ezequiels.90@gmail.com>, Victor Yohai <vyohai@dm.uba.ar>
Date of publication
2016-11-10 08:18:52
Maintainer
Ezequiel Smucler <ezequiels.90@gmail.com>
License
GPL (>= 2)
Version
1.0.0

View on CRAN

Man pages

auto.gdpc
Automatic Fitting of Generalized Dynamic Principal Components
components.gdpcs
Get Generalized Dynamic Principal Components From a gdpcs...
fitted.gdpcs
Get Reconstructed Time Series From a gdpcs Object
gdpc
Generalized Dynamic Principal Components
gdpc-package
Generalized Dynamic Principal Components
ipi91
Industrial Production Index (IPI) of France, Germany, Italy,...
plot.gdpc
Plot Generalized Dynamic Principal Components
plot.gdpcs
Plot Generalized Dynamic Principal Components
pricesSP50
Stock Prices of the First 50 Components of S&P500

Files in this package

gdpc
gdpc/src
gdpc/src/Makevars
gdpc/src/gdpc_auxfunc.cpp
gdpc/src/RcppExports.cpp
gdpc/NAMESPACE
gdpc/data
gdpc/data/ipi91.rda
gdpc/data/pricesSP50.rda
gdpc/R
gdpc/R/classGDPC.R
gdpc/R/RcppExports.R
gdpc/R/autoGDPC.R
gdpc/MD5
gdpc/DESCRIPTION
gdpc/man
gdpc/man/ipi91.Rd
gdpc/man/auto.gdpc.Rd
gdpc/man/components.gdpcs.Rd
gdpc/man/gdpc-package.Rd
gdpc/man/plot.gdpc.Rd
gdpc/man/plot.gdpcs.Rd
gdpc/man/gdpc.Rd
gdpc/man/fitted.gdpcs.Rd
gdpc/man/pricesSP50.Rd