  We propose a time domain approach to define dynamic principal components
(DPC) using a reconstruction of the original series criterion. This approach to
define DPC was introduced by Brillinger, who gave a very elegant theoretical
solution in the stationary case using the cross spectrum. Our procedure can be
applied under more general conditions including the case ofnon stationary
series and relatively short series. We also present a robust version of our
procedure that allows to estimate the DPC when the series have outlier
contamination. Our non robust and robust procedures are illustrated with real
datasets.
