sptd_BIC: BIC Score for Sparse Temporal Disaggregation

In DisaggregateTS: High-Dimensional Temporal Disaggregation

BIC Score for Sparse Temporal Disaggregation

Description

This function calculates the BIC score for sparse temporal disaggregation, as described in \insertCite10.1111/rssa.12952;textualDisaggregateTS. It uses the LARS algorithm to find the optimal beta coefficients and refits the models to compute BIC scores.

Usage

sptd_BIC(Y, X, vcov)

Arguments

Y	The low-frequency response series (n_l \times 1 matrix).
X	The aggregated high-frequency indicator series (n_l \times p matrix).
vcov	Aggregated variance-covariance matrix of AR(1) residuals (n_l \times n_l matrix).

Value

    The minimum BIC score from the refitted models.

DisaggregateTS documentation built on Oct. 31, 2024, 5:09 p.m.