sparseDFM

swMATH44621CRANsparseDFMMaRDI QIDQ1334366

Estimate Dynamic Factor Models with Sparse Loadings

Luke Mosley, Tak-shing Chan, Alex Gibberd

Last update: 23 March 2023

Copyright license: GNU General Public License

Software version identifier: 1.0

Source code repository: https://github.com/cran/sparseDFM

Cites work

• MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA
• Forecasting Using Principal Components From a Large Number of Predictors
• Nowcasting: The real-time informational content of macroeconomic data
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Fast Filtering and Smoothing for Multivariate State Space Models
• The Sparse Dynamic Factor Model: A Regularised Quasi-Maximum Likelihood Approach

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