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stat.ME2023
Disaggregating Time-Series with Many Indicators: An Overview of the DisaggregateTS Package
Luke Mosley, Kaveh Salehzadeh Nobari, Giuseppe Brandi +1
Low-frequency time-series (e.g., quarterly data) are often treated as benchmarks for interpolating to higher frequencies, since they generally exhibit greater precision and accurac…
stat.ME2023
The Sparse Dynamic Factor Model: A Regularised Quasi-Maximum Likelihood Approach
Luke Mosley, Tak-Shing T. Chan, Alex Gibberd
The concepts of sparsity, and regularised estimation, have proven useful in many high-dimensional statistical applications. Dynamic factor models (DFMs) provide a parsimonious appr…