Man pages for TwoStepSDFM
Estimate a Sparse Mixed Frequency Gaussian Factor Model Using a Two-Step Procedure
| checkBoolean | Helper function to check parameter vectors for positive... |
| checkParameterMatrix | Helper function to check parameter matrices |
| checkPositiveDouble | Helper function to check positive double function parameter |
| checkPositiveSignedInteger | Helper function to check unsigned integer function parameter |
| checkPositiveSignedParameterVector | Helper function to check parameter vectors for positive... |
| crossVal | Cross-validate SDFM Hyper-Parameters |
| factor_model | Example factor model dataset |
| forecastWrapper | Internal forecasting wrapper function |
| kalmanFilterSmoother | Univariate Representation of the Multivariate Kalman Filter... |
| makeRaggedEdges | Helper function to check positive double function parameter |
| mixed_freq_factor_model | Mixed-frequency factor model dataset |
| noOfFactors | Estimate the number of Factors |
| nowcast | Predict Mixed-Frequency Data via Dynamic Factor Models |
| nowcastSpecificationHelper | Helper function to wrap the nowcasting routine |
| plotFactorEstimates | Helper for plotting factor time series |
| plotInformationCrit | Helper for plotting ICs for selecting the number of factors |
| plot.KFSFit | Generic plotting function for KFSFit S3 objects |
| plotLoadingHeatMap | Helper for plotting loading matrix heat maps |
| plotMeasVarCovEigenvalues | Helper for plotting measurement error var.cov. eigenvalues |
| plotMeasVarCovHeatmap | Helper for plotting measurement error var.cov. heatmap |
| 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. |
