4 citations · 4 across the 2 of their papers we have counts for
3 papers
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…
sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings
Luke Mosley, Tak-Shing Chan, Alex Gibberd
sparseDFM is an R package for the implementation of popular estimation methods for dynamic factor models (DFMs) including the novel Sparse DFM approach of Mosley et al. (2023). The…
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…