Package: sparseDFM 1.0

Alex Gibberd

sparseDFM: Estimate Dynamic Factor Models with Sparse Loadings

Implementation of various estimation methods for dynamic factor models (DFMs) including principal components analysis (PCA) Stock and Watson (2002) <doi:10.1198/016214502388618960>, 2Stage Giannone et al. (2008) <doi:10.1016/j.jmoneco.2008.05.010>, expectation-maximisation (EM) Banbura and Modugno (2014) <doi:10.1002/jae.2306>, and the novel EM-sparse approach for sparse DFMs Mosley et al. (2023) <arxiv:2303.11892>. Options to use classic multivariate Kalman filter and smoother (KFS) equations from Shumway and Stoffer (1982) <doi:10.1111/j.1467-9892.1982.tb00349.x> or fast univariate KFS equations from Koopman and Durbin (2000) <doi:10.1111/1467-9892.00186>, and options for independent and identically distributed (IID) white noise or auto-regressive (AR(1)) idiosyncratic errors. Algorithms coded in 'C++' and linked to R via 'RcppArmadillo'.

Authors:Luke Mosley [aut], Tak-Shing Chan [aut], Alex Gibberd [aut, cre]

sparseDFM_1.0.tar.gz
sparseDFM_1.0.tar.gz(r-4.5-noble)sparseDFM_1.0.tar.gz(r-4.4-noble)
sparseDFM_1.0.tgz(r-4.4-emscripten)sparseDFM_1.0.tgz(r-4.3-emscripten)
sparseDFM.pdf |sparseDFM.html
sparseDFM/json (API)

# Install 'sparseDFM' in R:
install.packages('sparseDFM', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

openblascppopenmp

2.30 score 1 stars 7 scripts 250 downloads 9 exports 30 dependencies

Last updated 2 years agofrom:e6438f1804. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 04 2024
R-4.5-linux-x86_64OKDec 04 2024

Exports:fillNAkalmanMultivariatekalmanUnivariatelogspacemissing_data_plotraggedEdgesparseDFMtransformDatatuneFactors

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerRcppRcppArmadillorlangscalestibbleutf8vctrsviridisLitewithr

Using sparseDFM - Inflation Example

Rendered frominflation-example.Rmdusingknitr::rmarkdownon Dec 04 2024.

Last update: 2023-03-23
Started: 2023-03-23

Using sparseDFM - Nowcasting UK Trade in Goods (Exports)

Rendered fromexports-example.Rmdusingknitr::rmarkdownon Dec 04 2024.

Last update: 2023-03-23
Started: 2023-03-23