gdpc (version 1.0.2)

gdpc-package: Generalized Dynamic Principal Components

Description

Computes the Generalized Dynamic Principal Components proposed in Pe<U+00F1>a and Yohai (2016).

Details

Package:	gdpc
Type:	Package
Version:	1.0.2
Date:	2017-02-14
Depends:	R (>= 3.3.1)
License:	GPL (>= 2)
Imports:	xts, zoo, methods, Rcpp (>= 0.12.7), parallel, doParallel, foreach
LinkingTo:	Rcpp, RcppArmadillo (>= 0.7.500.0.0)
NeedsCompilation:	yes

Index:

auto.gdpc   Automatic Fitting of Generalized Dynamic Principal Components.

components.gdpcs    Get Generalized Dynamic Principal Components from a gdpcs object.

fitted.gdpcs    Get reconstructed time series from a gdpcs object.

gdpc    Computes a single Generalized Dynamic Principal Component
        with a given number of lags.

ipi91   Six series corresponding to the Industrial Production
        Index (IPI) of France, Germany, Italy, United Kingdom, USA and 
        Japan. Monthly data from January 1991 to December 2012.

plot.gdpc   Plots a gdpc object.

plot.gdpcs   Plots a gdpcs object.

pricesSP50   Fifty series corresponding to the stock prices of the first 50
             components of the Standard&Poor's 500 index. Five hundred daily
             observations starting 1/1/2010.

References

Pe<U+00F1>a D. and Yohai V.J. (2016). <U+201C>Generalized Dynamic Principal Components.<U+201D> Journal of the American Statistical Association, 111(515), 1121<U+2013>1131.

Examples

# NOT RUN {
data(ipi91)
# }
# NOT RUN {
  #Compute GDPC, number of components and number of lags is chosen automatically.
  #This might take a bit.
  ipi_autogdpc <- auto.gdpc(ipi91)
  
# }