Generalized Dynamic Principal Components

Functions to compute the Generalized Dynamic Principal Components introduced in Peña and Yohai (2016) .


gdpc 1.1.0

  • Change in the definition of the BNG criterion to match the ICp3 criterion of Bai and Ng (2002).
  • verbose option in auto.gdpc.
  • gdpc objects now also contain a field called 'niter', the number of iterations performed.

gdpc 1.0.3

  • Minor changes to the gdpc and gdpcs classes.

gdpc 1.0.2

New features:

  • Added support for zoo objects.

gdpc 1.0.1

Bug fixes:

  • Fixed a bug in auto.gdpc that arose when the user chose normalize = 2. The loadings and intercepts were being correctly adjusted only for the first component.

  • Explicitly cast N and m as double when computing crit. This should fix an installation bug in Solaris.

Reference manual

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1.1.0 by Ezequiel Smucler, 2 years ago

Browse source code at

Authors: Daniel Peña <[email protected]> , Ezequiel Smucler <[email protected]> , Victor Yohai <[email protected]>

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports xts, zoo, methods, Rcpp, parallel, doParallel, foreach

Suggests testthat

Linking to Rcpp, RcppArmadillo

See at CRAN