Generalized Dynamic Principal Components

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


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Reference manual

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install.packages("gdpc")

1.0.3 by Ezequiel Smucler, 12 days ago


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


Authors: Daniel Peña <daniel.pena@uc3m.es>, Ezequiel Smucler <ezequiels.90@gmail.com>, Victor Yohai <vyohai@dm.uba.ar>


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