DESCRIPTION

Package: gdpc
Type: Package
Title: Generalized Dynamic Principal Components
Version: 1.1.4
Date: 2023-11-19
Author: Daniel Peña <daniel.pena@uc3m.es>,
    Ezequiel Smucler <ezequiels.90@gmail.com>,
    Victor Yohai <vyohai@dm.uba.ar>
Maintainer: Ezequiel Smucler <ezequiels.90@gmail.com>
Description: Functions to compute the Generalized Dynamic Principal Components
    introduced in Peña and Yohai (2016) <DOI:10.1080/01621459.2015.1072542>. The implementation
    includes an automatic procedure proposed in Peña, Smucler and Yohai (2020) <DOI:10.18637/jss.v092.c02>
    for the identification of both the number of lags to be used
    in the generalized dynamic principal components as well as the number of components required
    for a given reconstruction accuracy.
License: GPL (>= 2)
Imports:
    xts,
    zoo,
    methods,
    Rcpp (>= 0.12.7),
    parallel,
    doParallel,
    foreach
LinkingTo: Rcpp, RcppArmadillo (>= 0.7.500.0.0)
Suggests: testthat, R.rsp
Depends:
    R (>= 3.3.0)
NeedsCompilation: yes
Encoding: UTF-8
VignetteBuilder: R.rsp