Gdpc: An R package for generalized dynamic principal components
- Autores
- Peña, Daniel; Smucler, Ezequiel; Yohai, Victor Jaime
- Año de publicación
- 2020
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- Gdpc is an R package for the computation of the generalized dynamic principal components proposed in Peña and Yohai (2016). In this paper, we briefly introduce the problem of dynamical principal components, propose a solution based on a reconstruction criteria and present an automatic procedure to compute the optimal reconstruction. This solution can be applied to the non-stationary case, where the components need not be a linear combination of the observations, as is the case in the proposal of Brillinger (1981). This article discusses some new features that are included in the package and that were not considered in Peña and Yohai (2016). The most important one is an automatic procedure 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. These tools make it easy to use the proposed procedure in large data sets. The procedure can also be used when the number of series is larger than the number of observations. We describe an iterative algorithm and present an example of the use of the package with real data.
Fil: Peña, Daniel. Universidad Carlos III; España
Fil: Smucler, Ezequiel. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Yohai, Victor Jaime. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina - Materia
-
DIMENSIONALITY REDUCTION
HIGH-DIMENSIONAL TIME SERIES
R - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
- Repositorio
- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/143223
Ver los metadatos del registro completo
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Gdpc: An R package for generalized dynamic principal componentsPeña, DanielSmucler, EzequielYohai, Victor JaimeDIMENSIONALITY REDUCTIONHIGH-DIMENSIONAL TIME SERIESRhttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1Gdpc is an R package for the computation of the generalized dynamic principal components proposed in Peña and Yohai (2016). In this paper, we briefly introduce the problem of dynamical principal components, propose a solution based on a reconstruction criteria and present an automatic procedure to compute the optimal reconstruction. This solution can be applied to the non-stationary case, where the components need not be a linear combination of the observations, as is the case in the proposal of Brillinger (1981). This article discusses some new features that are included in the package and that were not considered in Peña and Yohai (2016). The most important one is an automatic procedure 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. These tools make it easy to use the proposed procedure in large data sets. The procedure can also be used when the number of series is larger than the number of observations. We describe an iterative algorithm and present an example of the use of the package with real data.Fil: Peña, Daniel. Universidad Carlos III; EspañaFil: Smucler, Ezequiel. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Yohai, Victor Jaime. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; ArgentinaJournal Statistical Software2020-02-23info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/143223Peña, Daniel; Smucler, Ezequiel; Yohai, Victor Jaime; Gdpc: An R package for generalized dynamic principal components; Journal Statistical Software; Journal Of Statistical Software; 92; 23-2-2020; 1-231548-7660CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.18637/jss.v092.c02info:eu-repo/semantics/altIdentifier/url/https://www.jstatsoft.org/article/view/v092c02info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:09:44Zoai:ri.conicet.gov.ar:11336/143223instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:09:44.35CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse |
dc.title.none.fl_str_mv |
Gdpc: An R package for generalized dynamic principal components |
title |
Gdpc: An R package for generalized dynamic principal components |
spellingShingle |
Gdpc: An R package for generalized dynamic principal components Peña, Daniel DIMENSIONALITY REDUCTION HIGH-DIMENSIONAL TIME SERIES R |
title_short |
Gdpc: An R package for generalized dynamic principal components |
title_full |
Gdpc: An R package for generalized dynamic principal components |
title_fullStr |
Gdpc: An R package for generalized dynamic principal components |
title_full_unstemmed |
Gdpc: An R package for generalized dynamic principal components |
title_sort |
Gdpc: An R package for generalized dynamic principal components |
dc.creator.none.fl_str_mv |
Peña, Daniel Smucler, Ezequiel Yohai, Victor Jaime |
author |
Peña, Daniel |
author_facet |
Peña, Daniel Smucler, Ezequiel Yohai, Victor Jaime |
author_role |
author |
author2 |
Smucler, Ezequiel Yohai, Victor Jaime |
author2_role |
author author |
dc.subject.none.fl_str_mv |
DIMENSIONALITY REDUCTION HIGH-DIMENSIONAL TIME SERIES R |
topic |
DIMENSIONALITY REDUCTION HIGH-DIMENSIONAL TIME SERIES R |
purl_subject.fl_str_mv |
https://purl.org/becyt/ford/1.1 https://purl.org/becyt/ford/1 |
dc.description.none.fl_txt_mv |
Gdpc is an R package for the computation of the generalized dynamic principal components proposed in Peña and Yohai (2016). In this paper, we briefly introduce the problem of dynamical principal components, propose a solution based on a reconstruction criteria and present an automatic procedure to compute the optimal reconstruction. This solution can be applied to the non-stationary case, where the components need not be a linear combination of the observations, as is the case in the proposal of Brillinger (1981). This article discusses some new features that are included in the package and that were not considered in Peña and Yohai (2016). The most important one is an automatic procedure 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. These tools make it easy to use the proposed procedure in large data sets. The procedure can also be used when the number of series is larger than the number of observations. We describe an iterative algorithm and present an example of the use of the package with real data. Fil: Peña, Daniel. Universidad Carlos III; España Fil: Smucler, Ezequiel. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina Fil: Yohai, Victor Jaime. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina |
description |
Gdpc is an R package for the computation of the generalized dynamic principal components proposed in Peña and Yohai (2016). In this paper, we briefly introduce the problem of dynamical principal components, propose a solution based on a reconstruction criteria and present an automatic procedure to compute the optimal reconstruction. This solution can be applied to the non-stationary case, where the components need not be a linear combination of the observations, as is the case in the proposal of Brillinger (1981). This article discusses some new features that are included in the package and that were not considered in Peña and Yohai (2016). The most important one is an automatic procedure 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. These tools make it easy to use the proposed procedure in large data sets. The procedure can also be used when the number of series is larger than the number of observations. We describe an iterative algorithm and present an example of the use of the package with real data. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-02-23 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
format |
article |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://hdl.handle.net/11336/143223 Peña, Daniel; Smucler, Ezequiel; Yohai, Victor Jaime; Gdpc: An R package for generalized dynamic principal components; Journal Statistical Software; Journal Of Statistical Software; 92; 23-2-2020; 1-23 1548-7660 CONICET Digital CONICET |
url |
http://hdl.handle.net/11336/143223 |
identifier_str_mv |
Peña, Daniel; Smucler, Ezequiel; Yohai, Victor Jaime; Gdpc: An R package for generalized dynamic principal components; Journal Statistical Software; Journal Of Statistical Software; 92; 23-2-2020; 1-23 1548-7660 CONICET Digital CONICET |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
info:eu-repo/semantics/altIdentifier/doi/10.18637/jss.v092.c02 info:eu-repo/semantics/altIdentifier/url/https://www.jstatsoft.org/article/view/v092c02 |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
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openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
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application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Journal Statistical Software |
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Journal Statistical Software |
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reponame:CONICET Digital (CONICET) instname:Consejo Nacional de Investigaciones Científicas y Técnicas |
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CONICET Digital (CONICET) |
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Consejo Nacional de Investigaciones Científicas y Técnicas |
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CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas |
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dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar |
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13.070432 |