gdpc (Q44119): Difference between revisions

← Older edit

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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.
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Latest revision as of 15:28, 21 March 2024

Generalized Dynamic Principal Components

Language	Label	Description	Also known as
English	gdpc	Generalized Dynamic Principal Components

Statements

0 references

0 references

software version identifier

1.1.3

publication date

22 October 2022

0 references

1.0.0

publication date

10 November 2016

0 references

1.0.1

publication date

20 January 2017

0 references

1.0.2

publication date

22 February 2017

0 references

1.0.3

publication date

2 December 2017

0 references

1.1.0

publication date

8 May 2018

0 references

1.1.1

publication date

23 February 2020

0 references

1.1.2

publication date

9 February 2021

0 references

1.1.3

publication date

23 October 2022

0 references

1.1.4

publication date

19 November 2023

0 references

0 references

0 references

19 November 2023

0 references

maintained by

Ezequiel Smucler

0 references

description

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.

0 references

author

Daniel Peña

0 references

copyright license

GNU General Public License, version 2.0

0 references

GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)

0 references

imports