esmucler/odpc esmucler/odpc

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  • Language
    R
  • Created over 7 years ago
  • Updated 8 months ago
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esmucler/odpc
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esmucler

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Repository Details

This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reduction technique proposed in Peña, Smucler and Yohai (2019) (https://doi.org/10.1080/01621459.2018.1520117).

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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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Scripts to reproduce examples in Rotnitzky and Smucler (2020).
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