gdpc (Q44119)

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Generalized Dynamic Principal Components
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English
gdpc
Generalized Dynamic Principal Components

    Statements

    swMATH work ID
    32408
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    instance of
    R package
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    software version identifier
    1.1.3
    publication date
    22 October 2022
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    1.0.0
    publication date
    10 November 2016
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    1.0.1
    publication date
    20 January 2017
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    1.0.2
    publication date
    22 February 2017
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    1.0.3
    publication date
    2 December 2017
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    1.1.0
    publication date
    8 May 2018
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    1.1.1
    publication date
    23 February 2020
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    1.1.2
    publication date
    9 February 2021
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    1.1.3
    publication date
    23 October 2022
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    1.1.4
    publication date
    19 November 2023
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    CRAN project
    gdpc
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    programmed in
    R
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    last update
    19 November 2023
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    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.
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    author
    Daniel Peña
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    imports
    xts
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    zoo
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    methods
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    Rcpp
    software version identifier
    ≥ 0.12.7
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    parallel
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    doParallel
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    foreach
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