TwoStepSDFM
Estimate a Sparse Mixed Frequency Gaussian Factor Model Using a Two-Step Procedure
Estimate a sparse Gaussian state-space model with mixed frequency data via sparse principal components analysis and the Kalman filter and smoother. For more details see Franjic and Schweikert (2024) <doi:10.2139/ssrn.4733872>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.0 |
rolling linux/jammy R-4.5 | TwoStepSDFM_0.2.0.tar.gz |
1.5 MiB |
0.2.0 |
rolling linux/noble R-4.5 | TwoStepSDFM_0.2.0.tar.gz |
1.6 MiB |
0.2.0 |
rolling source/ R- | TwoStepSDFM_0.2.0.tar.gz |
1.0 MiB |
0.2.0 |
latest linux/jammy R-4.5 | TwoStepSDFM_0.2.0.tar.gz |
1.5 MiB |
0.2.0 |
latest linux/noble R-4.5 | TwoStepSDFM_0.2.0.tar.gz |
1.6 MiB |
0.2.0 |
latest source/ R- | TwoStepSDFM_0.2.0.tar.gz |
1.0 MiB |
0.2.0 |
2026-04-26 source/ R- | TwoStepSDFM_0.2.0.tar.gz |
1.0 MiB |
0.2.0 |
2026-04-23 source/ R- | TwoStepSDFM_0.2.0.tar.gz |
1.0 MiB |