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: |
1.1.2 |
| 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: |
2021-02-09 |
| 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 |
Documentation:
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