gdpc

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.

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