gdpc

Generalized Dynamic Principal Components

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

News

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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install.packages("gdpc")

1.1.0 by Ezequiel Smucler, 5 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

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