pcdpca: Dynamic Principal Components for Periodically Correlated Functional Time Series
Version 0.4

Method extends multivariate and functional dynamic principal components to periodically correlated multivariate time series. This package allows you to compute true dynamic principal components in the presence of periodicity. We follow implementation guidelines as described in Kidzinski, Kokoszka and Jouzdani (2017), in Principal component analysis of periodically correlated functional time series .

Getting started

Package details

AuthorLukasz Kidzinski [aut, cre], Neda Jouzdani [aut], Piotr Kokoszka [aut]
Date of publication2017-09-03 05:17:18 UTC
MaintainerLukasz Kidzinski <[email protected]>
LicenseGPL-3
Version0.4
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("pcdpca")

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pcdpca documentation built on Sept. 3, 2017, 9:02 a.m.