Estimate a Sparse Mixed Frequency Gaussian Factor Model Using a Two-Step Procedure

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Documentation for package ‘TwoStepSDFM’ version 0.2.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

crossVal	Cross-validate SDFM Hyper-Parameters
factor_model	Example factor model dataset
kalmanFilterSmoother	Univariate Representation of the Multivariate Kalman Filter and Smoother
mixed_freq_factor_model	Mixed-frequency factor model dataset
noOfFactors	Estimate the number of Factors
nowcast	Predict Mixed-Frequency Data via Dynamic Factor Models
plot.KFSFit	Generic plotting function for KFSFit S3 objects
plot.NoOfFactorsFit	Generic plotting function for NoOfFactorsFit S3 objects
plot.SDFMcrossVal	Generic plotting function for SDFMcrossVal S3 objects
plot.SDFMFit	Generic plotting function for SDFMFit S3 objects
plot.SDFMnowcast	Generic plotting function for SDFMnowcast S3 objects
plot.SimulData	Generic plotting function for SimulData S3 objects
plot.SPCAFit	Generic plotting function for SPCAFit S3 objects
predict.SDFMFit	Generic plotting function for SDFMFit S3 objects
print.KFSFit	Generic printing function for KFSFit S3 objects
print.NoOfFactorsFit	Generic printing function for NoOfFactorsFit S3 objects
print.SDFMcrossVal	Generic print function for SDFMcrossVal S3 objects
print.SDFMFit	Generic printing function for SDFMFit S3 objects
print.SDFMnowcast	Generic print function for SDFMnowcast S3 objects
print.SimulData	Generic printing function for SimulData S3 objects
print.SPCAFit	Generic printing function for SPCAFit S3 objects
simFM	Simulate Dynamic Factor Models.
sparsePCA	Sparse Principal Components Analysis
twoStepDenseDFM	Two Step Dense Dynamic Factor Model Estimator.
twoStepSDFM	Two Step Sparse Dynamic Factor Model Estimator.