Generalized Dynamic Principal Components

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


News

gdpc 1.0.3

  • Minor changes to the gdpc and gdpcs classes.

gdpc 1.0.2

New features:

  • Added support for zoo objects.

gdpc 1.0.1

Bug fixes:

  • Fixed a bug in auto.gdpc that arose when the user chose normalize = 2. The loadings and intercepts were being correctly adjusted only for the first component.

  • Explicitly cast N and m as double when computing crit. This should fix an installation bug in Solaris.

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("gdpc")

1.1.0 by Ezequiel Smucler, 3 months ago


Browse source code at https://github.com/cran/gdpc


Authors: Daniel Peña <[email protected]>, Ezequiel Smucler <[email protected]>, Victor Yohai <[email protected]>


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


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

Suggests testthat

Linking to Rcpp, RcppArmadillo


Imported by odpc.


See at CRAN