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.
|Author||Daniel Peña <email@example.com>, Ezequiel Smucler <firstname.lastname@example.org>, Victor Yohai <email@example.com>|
|Maintainer||Ezequiel Smucler <firstname.lastname@example.org>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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