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

Downloads:

Reference manual: gdpc.pdf
Vignettes: gdpc: An R Package for Generalized Dynamic Principal Components
Package source: gdpc_1.1.2.tar.gz
Windows binaries: r-devel: gdpc_1.1.2.zip, r-release: gdpc_1.1.2.zip, r-oldrel: gdpc_1.1.2.zip
macOS binaries: r-release: gdpc_1.1.2.tgz, r-oldrel: gdpc_1.1.2.tgz
Old sources: gdpc archive

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