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.