gdpc-package: Generalized Dynamic Principal Components
In hfloresr/GDPCA: Generalized Dynamic Principal Components Analysis

Description Details Author(s) References Examples

Computes the Generalized Dynamic Principal Components proposed in Peña and Yohai (2016).

Package:	gdpc
Type:	Package
Version:	1.0.2
Date:	2017-02-14
Depends:	R (>= 3.3.1)
License:	GPL (>= 2)
Imports:	xts, zoo, methods, Rcpp (>= 0.12.7), parallel, doParallel, foreach
LinkingTo:	Rcpp, RcppArmadillo (>= 0.7.500.0.0)
NeedsCompilation:	yes

Index:

1	auto.gdpc Automatic Fitting of Generalized Dynamic Principal Components.

1	components.gdpcs Get Generalized Dynamic Principal Components from a gdpcs object.

1	fitted.gdpcs Get reconstructed time series from a gdpcs object.

1 2	gdpc Computes a single Generalized Dynamic Principal Component with a given number of lags.

1
2
3

ipi91   Six series corresponding to the Industrial Production
        Index (IPI) of France, Germany, Italy, United Kingdom, USA and 
        Japan. Monthly data from January 1991 to December 2012.

1	plot.gdpc Plots a gdpc object.

1	plot.gdpcs Plots a gdpcs object.

1
2
3

pricesSP50   Fifty series corresponding to the stock prices of the first 50
             components of the Standard&Poor's 500 index. Five hundred daily
             observations starting 1/1/2010.

Hector Flores hfloresr@uci.edu

Peña D. and Yohai V.J. (2016). “Generalized Dynamic Principal Components.” Journal of the American Statistical Association, 111(515), 1121–1131.

data(ipi91)
## Not run: 
  #Compute GDPC, number of components and number of lags is chosen automatically.
  #This might take a bit.
  ipi_autogdpc <- auto.gdpc(ipi91)
  
## End(Not run)