odpc (version 2.0.5)

One-Sided Dynamic Principal Components

Description

Functions to compute the one-sided dynamic principal components ('odpc') introduced in Pea, Smucler and Yohai (2019) . 'odpc' is a novel dimension reduction technique for multivariate time series, that is useful for forecasting. These dynamic principal components are defined as the linear combinations of the present and past values of the series that minimize the reconstruction mean squared error.

Copy Link

Version

Down Chevron

Install

install.packages('odpc')

Monthly Downloads

228

Version

2.0.5

License

GPL (>= 2)

Last Published

March 2nd, 2022

Functions in odpc (2.0.5)