Generalized Dynamic Principal Components

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


Reference manual

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1.0.3 by Ezequiel Smucler, 12 days ago

Browse source code at

Authors: Daniel Peña <>, Ezequiel Smucler <>, Victor Yohai <>

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports xts, zoo, methods, Rcpp, parallel, doParallel, foreach

Linking to Rcpp, RcppArmadillo

Imported by odpc.

See at CRAN