gdpc
Generalized Dynamic Principal Components
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.1.4 |
rolling source/ R- | gdpc_1.1.4.tar.gz |
624.3 KiB |
1.1.4 |
rolling linux/jammy R-4.5 | gdpc_1.1.4.tar.gz |
585.8 KiB |
1.1.4 |
latest source/ R- | gdpc_1.1.4.tar.gz |
624.3 KiB |
1.1.4 |
latest linux/jammy R-4.5 | gdpc_1.1.4.tar.gz |
585.8 KiB |
1.1.4 |
2026-04-23 source/ R- | gdpc_1.1.4.tar.gz |
624.3 KiB |
1.1.4 |
2026-04-09 windows/windows R-4.5 | gdpc_1.1.4.zip |
902.5 KiB |
1.1.4 |
2025-04-20 source/ R- | gdpc_1.1.4.tar.gz |
624.3 KiB |