esmucler/gdpc esmucler/gdpc

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  • Created over 8 years ago
  • Updated about 1 year ago
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esmucler/gdpc
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esmucler

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Repository Details

This package provides functions for computing the Generalized Dynamic Principal Components proposed in Peña and Yohai (2016). It also provides a function to automatically choose the number of components and lags, using the criteria described in Peña, Smucler and Yohai (2020).

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