gdpc (Q44119)
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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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