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 Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=gdpc to link to this page.
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