boot_init: Obtain initial values to start the EM algorithm

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

Obtain initial values to start the EM algorithm

Description

boot_init implements the estimation scheme of the initial parameter values given in Appendix B of Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization available at https://arxiv.org/pdf/2202.00310.pdf.

Usage

boot_init(data, nu, degs = NULL, reg_prm = 6, nrep = 1, tmpl_mod = NULL)

Arguments

data	matrix of dimension (T x N), where T is the number of observations and N is the number of variables
nu	a vector of Kronecker indices
degs	optional, vector of length 2, where one can specify the degrees of c(z) and d(z), either of the parameters must be equal to max(nu)
reg_prm	integer valued parameter allowing the user to directly estimate initial values from regularized data such that the std deviation of the randomly drawn noise vector of normally distributed values is 10^-reg_prm
nrep	integer, nrep=1 for no bootstrapping of initial values and nrep>1 for nrep bootstraps of initial values
tmpl_mod	optional, supply the template as an input, using this speeds up the function, enabled for convenience of the function do_everything_rmfd

Value

a list of elements

params0	vector of initial values
sigma	estimate of initial error covariance matrix
llval	the log-likelihood value of the initial state space model, returned only if nrep>1

Examples

# compare the difference in computing time
# w/ and w/o bootstrapping
# scale data first
Y <- scale(FRED_light$df)
tmp <- Sys.time()
arg_list <- list(data = Y, nu = c(1,1,1,1), reg_prm = NULL, nrep = 1)
est0 <- do.call(boot_init, arg_list)
time_elapsed <- Sys.time() - tmp
arg_list$nrep <- 10
tmp <- Sys.time()
est1 <- do.call(boot_init, arg_list)
time_elapsed1 <- Sys.time() - tmp
# the computation slows down roughly at a rate 1 sec/1 bootstrap round, and is
# caused by the evaluation of the log-likelihood of the boostrapped models
print(time_elapsed1 - time_elapsed)

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.