Man pages for FARS
Factor-Augmented Regression Scenarios
| apply_identifications | Apply Identification Constraints to Factors and Loadings |
| beta_ols | Multi-Level Dynamic Factor Model - Multiple blocks |
| build_factor_structure | Create the key value pair system to track the factors |
| canonical_correlation_analysis | Canonical Correlation Analysis (for MLDFM) |
| compute_density | Compute Skew-t Densities from Forecasted Quantiles |
| compute_fars | Compute Factor Augmented Quantile Regressions and Stressed... |
| compute_gamma_FPR | Compute Adaptive Threshold Cross-Sectional Robust Gamma... |
| compute_initial_factors | Compute Initial Factors (Multilevel Dynamic Factor Model) |
| compute_lambda | Compute Loadings (Lambda Matrix) |
| compute_optimal_delta | Compute Optimal Delta for AT-CSR Thresholding (base-10 log... |
| compute_stressed_factors | Compute Stressed Factors |
| compute_subsample | Internal helper to compute a column-wise subsample of the... |
| correct_outliers | Correct Outliers in a Dataset |
| create_scenario | Create Stressed Scenarios |
| eigen_sorted | Eigen Decomposition (Descending Order) |
| get_factors | Extract Factors at a Given Hierarchical Level |
| l_density | Compute Skew-t Densities from Forecasted Quantiles (Linear... |
| mldfm | Estimate Multilevel Dynamic Factor Model |
| mldfm_subsampling | Subsampling Procedure for MLDFM Estimation |
| nl_density | Compute Skew-t Densities from Forecasted Quantiles (Nonlinear... |
| orthogonalize_factors | Orthogonalize factors |
| plot_factors.mldfm | Plot Extracted Factors from MLDFM |
| plot.fars | Plot Method for fars Object |
| plot.fars_density | Plot method for fars_density objects |
| plot_loadings.mldfm | Plot Loadings from MLDFM |
| plot.mldfm | Plot method for MLDFM object |
| plot_residuals.mldfm | Plot Residuals from MLDFM |
| print.fars | Print method for fars object |
| print.fars_density | Print method for fars_density objects |
| print.mldfm | Print Method for MLDFM Object |
| q_reg | Quantile Regression with Stressed Scenario Projection |
| quantile_risk | Extract Conditional Quantile from Simulated Densities |
| shift | Shift a time series vector |
| single_block | Multi-Level Dynamic Factor Model - Single block |
| summary.fars | Summary Method for fars Object |
| summary.fars_density | Summary method for fars_density objects |
| summary.mldfm | Summary Method for MLDFM Object |
| update_factor_list | Update Factor List from a given Factor Matrix |
