R package pcdpca: Dynamic Principal Components for Periodically Correlated Functional Time Series. 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>.
Keywords for this software
References in zbMATH (referenced in 2 articles , 1 standard article )
Showing results 1 to 2 of 2.
- Daniel Peña, Ezequiel Smucler, Victor Yohai: gdpc: An R Package for Generalized Dynamic Principal Components (2020) not zbMATH
- Kidziński, Łukasz; Kokoszka, Piotr; Jouzdani, Neda Mohammadi: Principal components analysis of periodically correlated functional time series (2018)