components.gdpcs {gdpc}

Get Generalized Dynamic Principal Components From a gdpcs Object

Description

Get Generalized Dynamic Principal Components from a gdpcs object.

Usage

## S3 method for class 'gdpcs'
components(object, which_comp = 1)

Arguments

object

An object of class gdpcs, usually the result of auto.gdpc.

which_comp

Numeric vector indicating which components to get. Default is 1.

Value

A matrix whose columns are the desired dynamic principal components.

Author(s)

Daniel Peña, Ezequiel Smucler, Victor Yohai

See Also

gdpc, auto.gdpc, plot.gdpc

Examples

T <- 200 #length of series
m <- 200 #number of series
set.seed(1234)
f <- rnorm(T + 1)
x <- matrix(0, T, m)
u <- matrix(rnorm(T * m), T, m)
for (i in 1:m) {
    x[, i] <- 10 * sin(2 * pi * (i/m)) * f[1:T] + 10 * cos(2 * pi * (i/m)) * f[2:(T + 1)] + u[, i]
}
#Choose number of lags using the LOO criterion.
#k_max=2 to keep computation time low
autofit <- auto.gdpc(x, k_max = 2, auto_comp = FALSE, num_comp = 2) 
comps <- components(autofit, which_comp = c(1,2))