gdpc

R package gdpc: Generalized Dynamic Principal Components. 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.