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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 |
| 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 |
| Reference manual: | gdpc.pdf |
| Vignettes: |
gdpc: An R Package for Generalized Dynamic Principal Components |
| Package source: | gdpc_1.1.4.tar.gz |
| Windows binaries: | r-devel: gdpc_1.1.4.zip, r-release: gdpc_1.1.4.zip, r-oldrel: gdpc_1.1.4.zip |
| macOS binaries: | r-release (arm64): gdpc_1.1.4.tgz, r-oldrel (arm64): gdpc_1.1.4.tgz, r-release (x86_64): gdpc_1.1.4.tgz, r-oldrel (x86_64): gdpc_1.1.4.tgz |
| Old sources: | gdpc archive |
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