sparseDFM

MaRDI QIDQ1334366swMATHCRANFDO

Authors Luke Mosley, Tak-shing Chan, Alex Gibberd

Last update 23 March 2023

Copyright license GNU General Public License

Software version identifier 1.0

Official website https://cran.r-project.org/web/packages/sparseDFM/index.html

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

Cited in

(2)

• MARSS
• nowcasting

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