Discover @esmucler Open Source projects

Ezequiel Smucler (@esmucler)

esmucler

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Global Rank 834,067 (Top 29 %)
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Registered about 9 years ago
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R
50.0 %

PostScript 25.0 %

C++
25.0 %
Location 🇦🇷 Argentina
Country Total Rank 2,724
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PostScript 2

R
28

C++
674

odpc

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).

gdpc

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).

optimal_adjustment

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

mmlasso

R package to compute the MM-Lasso and adaptive MM-Lasso estimators proposed in Smucler and Yohai (2017). A more efficient implementation, with a lot more options and functionalities, is available as part of the pense package https://cran.r-project.org/web/packages/pense/index.html.