gdpc-package {gdpc} | R Documentation |
Computes the Generalized Dynamic Principal Components proposed in Peña and Yohai (2016).
Package: | gdpc |
Type: | Package |
Version: | 1.1.0 |
Date: | 2018-05-08 |
Depends: | R (>= 3.3.0) |
License: | GPL (>= 2) |
Imports: | xts, zoo, methods, Rcpp (>= 0.12.7), parallel, doParallel, foreach |
LinkingTo: | Rcpp, RcppArmadillo (>= 0.7.500.0.0) |
Suggests: | testthat |
NeedsCompilation: | yes |
Index:
auto.gdpc Automatic Fitting of Generalized Dynamic Principal Components.
components.gdpcs Get Generalized Dynamic Principal Components from a gdpcs object.
fitted.gdpcs Get reconstructed time series from a gdpcs object.
gdpc Computes a single Generalized Dynamic Principal Component with a given number of lags.
ipi91 Six series corresponding to the Industrial Production Index (IPI) of France, Germany, Italy, United Kingdom, USA and Japan. Monthly data from January 1991 to December 2012.
plot.gdpc Plots a gdpc object.
plot.gdpcs Plots a gdpcs object.
pricesSP50 Fifty series corresponding to the stock prices of the first 50 components of the Standard&Poor's 500 index. Five hundred daily observations starting 1/1/2010.
Daniel Peña, Ezequiel Smucler, Victor Yohai
Maintainer: Ezequiel Smucler <ezequiels.90@gmail.com>
Peña D. and Yohai V.J. (2016). “Generalized Dynamic Principal Components.” Journal of the American Statistical Association, 111(515), 1121–1131.
data(ipi91) ## Not run: #Compute GDPC, number of components and number of lags is chosen automatically. #This might take a bit. ipi_autogdpc <- auto.gdpc(ipi91) ## End(Not run)