sparseDFM
Estimate Dynamic Factor Models with Sparse Loadings
Description
Implementation of various estimation methods for dynamic factor models (DFMs) including principal components analysis (PCA) Stock and Watson (2002) <doi:10.1198/016214502388618960>, 2Stage Giannone et al. (2008) <doi:10.1016/j.jmoneco.2008.05.010>, expectation-maximisation (EM) Banbura and Modugno (2014) <doi:10.1002/jae.2306>, and the novel EM-sparse approach for sparse DFMs Mosley et al. (2023) <arXiv:2303.11892>. Options to use classic multivariate Kalman filter and smoother (KFS) equations from Shumway and Stoffer (1982) <doi:10.1111/j.1467-9892.1982.tb00349.x> or fast univariate KFS equations from Koopman and Durbin (2000) <doi:10.1111/1467-9892.00186>, and options for independent and identically distributed (IID) white noise or auto-regressive (AR(1)) idiosyncratic errors. Algorithms coded in 'C++' and linked to R via 'RcppArmadillo'.
Downloads
237
Last 30 days
13638th
237
Last 90 days
237
Last year
CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
CRAN incoming feasibility
Maintainer: ‘Alex Gibberd <a.gibberd@lancaster.ac.uk>’ The Description field contains <arXiv:2303.11892>. Options to use classic multivariate Kalman filter Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
CRAN incoming feasibility
Maintainer: ‘Alex Gibberd <a.gibberd@lancaster.ac.uk>’ The Description field contains <arXiv:2303.11892>. Options to use classic multivariate Kalman filter Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
*
*
*
*
*
installed package size
installed size is 5.1Mb
sub-directories of 1Mb or more:
libs 4.2Mb
*
*
*
*
*
*
Check History
NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
CRAN incoming feasibility
Maintainer: ‘Alex Gibberd <a.gibberd@lancaster.ac.uk>’ The Description field contains <arXiv:2303.11892>. Options to use classic multivariate Kalman filter Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
CRAN incoming feasibility
Maintainer: ‘Alex Gibberd <a.gibberd@lancaster.ac.uk>’ The Description field contains <arXiv:2303.11892>. Options to use classic multivariate Kalman filter Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
installed package size
installed size is 5.1Mb
sub-directories of 1Mb or more:
libs 4.2Mb