Generalized Dynamic Principal Components
Automatic Fitting of Generalized Dynamic Principal Components
Get Generalized Dynamic Principal Components From a gdpcs Object
Generic Function for Getting Components From an Object
Get Reconstructed Time Series From a gdpcs Object
Generalized Dynamic Principal Components
Plot Generalized Dynamic Principal Components
Plot 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.