Package: gdpc 1.1.4

Ezequiel Smucler

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.

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

gdpc_1.1.4.tar.gz
gdpc_1.1.4.tar.gz(r-4.5-noble)gdpc_1.1.4.tar.gz(r-4.4-noble)
gdpc_1.1.4.tgz(r-4.4-emscripten)gdpc_1.1.4.tgz(r-4.3-emscripten)
gdpc.pdf |gdpc.html✨
gdpc/json (API)
NEWS

# Install 'gdpc' in R:
install.packages('gdpc', repos = 'https://cloud.r-project.org')
Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • ipi91 - Industrial Production Index (IPI) of France, Germany, Italy, United Kingdom, USA and Japan
  • pricesSP50 - Stock Prices of the First 50 Components of S&P500

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

openblascpp

2.00 score 372 downloads 3 exports 9 dependencies

Last updated 1 years agofrom:7321f3041a. Checks:1 ERROR, 2 OK. Indexed: no.

TargetResultLatest binary
Doc / VignettesFAILMar 20 2025
R-4.5-linux-x86_64OKMar 20 2025
R-4.4-linux-x86_64OKMar 20 2025

Exports:auto.gdpccomponentsgdpc

Dependencies:codetoolsdoParallelforeachiteratorslatticeRcppRcppArmadilloxtszoo

gdpc: An R Package for Generalized Dynamic Principal Components

Rendered frompaper_vignette.ltxusingR.rsp::texon Mar 20 2025.

Last update: 2021-02-09
Started: 2021-02-09

Citation

To cite gdpc in publications use:

Peña D, Smucler E, Yohai VJ (2020). “gdpc: An R Package for Generalized Dynamic Principal Components.” Journal of Statistical Software, Code Snippets, 92(2), 1–23. doi:10.18637/jss.v092.c02.

Corresponding BibTeX entry: 

  @Article{,
    title = {{gdpc}: An {R} Package for Generalized Dynamic Principal
      Components},
    author = {Daniel Pe\~na and Ezequiel Smucler and Victor J. Yohai},
    journal = {Journal of Statistical Software, Code Snippets},
    year = {2020},
    volume = {92},
    number = {2},
    pages = {1--23},
    doi = {10.18637/jss.v092.c02},
  }