4 citations · 4 across the 2 of their papers we have counts for
2 papers
stat.CO2023★ 4 cited
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…
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…