esmucler/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.
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Package details |
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| Author | Daniel Peña <daniel.pena@uc3m.es>, Ezequiel Smucler <ezequiels.90@gmail.com>, Victor Yohai <vyohai@dm.uba.ar> |
| Maintainer | Ezequiel Smucler <ezequiels.90@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1.4 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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