Generalized Dynamic Principal Components

Functions to compute the Generalized Dynamic Principal Components introduced in Peña and Yohai (2016) . The implementation includes an automatic procedure proposed in Peña, Smucler and Yohai (2020) 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.


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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1.1.1 by Ezequiel Smucler, a year 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