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.
| Version: | 1.1.4 |
| Depends: | R (≥ 3.3.0) |
| Imports: | xts,zoo, methods,Rcpp (≥ 0.12.7), parallel,doParallel,foreach |
| LinkingTo: | Rcpp,RcppArmadillo (≥ 0.7.500.0.0) |
| Suggests: | testthat,R.rsp |
| Published: | 2023-11-19 |
| DOI: | 10.32614/CRAN.package.gdpc |
| Author: | Daniel Peña, Ezequiel Smucler, Victor Yohai |
| Maintainer: | Ezequiel Smucler <ezequiels.90 at gmail.com> |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Citation: | gdpc citation info |
| Materials: | NEWS |
| In views: | TimeSeries |
| CRAN checks: | gdpc results |
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