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.


News

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

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("gdpc")

1.1.1 by Ezequiel Smucler, 8 months ago


Browse source code at https://github.com/cran/gdpc


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