BIRS Workshop Lecture Videos
Robust Generalized Dynamic Principal Components Peña, Daniel
We define generalized dynamic principal components (GDPC) as the time series minimizing a reconstruction of the original series with an interpolation criterion. We first used as criterion the mean squared error and obtained a solution that can be applied under more general conditions than the one used by Brillinger, including the case of non stationary series and relatively short series. Then we used a robust criterion to obtain a robust version of the generalized dynamic principal components that will work when the series have outlier contamination. Our non robust and robust procedures will be illustrated with real datasets.
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