gdpc (Q44119): Difference between revisions
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| Property / source code repository: https://github.com/cran/gdpc / rank | |||||||||||||||
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| Property / Software Heritage ID: swh:1:snp:bddb1b9aed035635e569e54f896365d6fab6363f / rank | |||||||||||||||
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| Property / Software Heritage ID: swh:1:snp:bddb1b9aed035635e569e54f896365d6fab6363f / qualifier | |||||||||||||||
| Property / Software Heritage ID: swh:1:snp:bddb1b9aed035635e569e54f896365d6fab6363f / qualifier | |||||||||||||||
point in time: 11 December 2023
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Latest revision as of 14:28, 21 March 2024
Generalized Dynamic Principal Components
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | gdpc |
Generalized Dynamic Principal Components |
Statements
19 November 2023
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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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expanded from: GPL (≥ 2) (English)
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Identifiers
11 December 2023
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