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Functions to compute the onesided dynamic principal components ('odpc') introduced in Smucler, Peña and Yohai (2018) <DOI:10.1080/01621459.2018.1520117>. 'odpc' is a novel dimension reduction technique for multivariate time series, that is useful for forecasting. These dynamic principal components are defined as the linear combinations of the present and past values of the series that minimize the reconstruction mean squared error.
Package details 


Author  Daniel Peña <[email protected]>, Ezequiel Smucler <[email protected]>, Victor Yohai <[email protected]> 
Maintainer  Ezequiel Smucler <[email protected]> 
License  GPL (>= 2) 
Version  2.0.1 
Package repository  View on CRAN 
Installation 
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