Estimate Dynamic Factor Models with Sparse Loadings

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Documentation for package ‘sparseDFM’ version 1.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

exports	UK Trade in Goods (Exports) Dataset
fillNA	Interpolation of missing data
fitted.sparseDFM	sparseDFM Residuals and Fitted Values
inflation	UK Inflation Dataset
kalmanMultivariate	Classic Multivariate KFS Equations
kalmanUnivariate	Univariate filtering (sequential processing) for fast KFS
logspace	logspace
missing_data_plot	Plot the missing data in a data matrix/frame
plot.sparseDFM	sparseDFM Plot Outputs
predict.sparseDFM	Forecasting factor estimates and data series.
print.sparseDFM	sparseDFM Summary Outputs
print.sparseDFM_forecast	Forecasting factor estimates and data series.
raggedEdge	Generate a ragged edge structure for a data matrix
resid.sparseDFM	sparseDFM Residuals and Fitted Values
residuals.sparseDFM	sparseDFM Residuals and Fitted Values
sparseDFM	Estimate a Sparse Dynamic Factor Model
summary.sparseDFM	sparseDFM Summary Outputs
transformData	Transform data to make it stationary
tuneFactors	Tune for the number of factors to use