pcdpca.scores

<p>series of filters returned from pcdpca</p>

<p>Compute periodically correlated DPCA scores, given the filters XI</p>

pcdpca

Method extends multivariate and functional dynamic principal components
to periodically correlated multivariate time series. This package allows you to
compute true dynamic principal components in the presence of periodicity.
We follow implementation guidelines as described in Kidzinski, Kokoszka and
Jouzdani (2017), in Principal component analysis of periodically correlated
functional time series <arXiv:1612.00040>.

Lukasz Kidzinski

pcdpca.scores: Compute periodically correlated DPCA scores, given the filters XI

Description

Usage

Arguments