most citedsparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings

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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…