sparseDFM

1.0

Estimate Dynamic Factor Models with Sparse Loadings

0packages depend

3.2Kdownloads / year

–test coverage

11/13checks pass

Overview

About

Maintained by Alex GibberdFirst published 2023-03-231 releasesCRAN page ↗

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'.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("sparseDFM", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-sparsedfm

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-sparseDFM

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-sparseDFM

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

2NOTE11OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-clang
NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 11.4 min · r-oldrel-windows-x86_64

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-04-22
11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
10 OK · 3 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesYes · dynamicpkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 98%
Return-value docs: 100%
References docs: 27%

Downloads

3.2K

CRAN downloads in the past year

Rank #12,544 · ~9/day · ~269/mo

Releases R versions

Daily download trend is not available in this view yet.

26530 days

85290 days

3.2K1 year

Compare downloads with other packages →

Also on404 r2u37 autocran62 c2d4u

Dependencies

Declared dependencies

7 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.3.0

Imports (3)

RcppMatrixggplot2

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (3)

knitr rmarkdown gridExtra

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 2,963 (65%)Rd 707 (16%)C++ 472 (10%)Vignettes 384 (8%)

Code characteristics

Object systems

S37

Cyclomatic complexity: 2.5 median / 101 max

Test coverage

Line coverage

–

Expression

–

Tests / Examples

–

Functions

42 9 exported

Complexity

8.5 avg / 101 max

Call network

42 nodes / 23 edges

Call graph

Open call graph →

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Lowest coverage

Per-function coverage is not measured for this package yet.

Datasets

Bundled datasets · 1

Name	Class	Rows × Cols	Also ships in
inflation	data.frame	135 × 36	–

People & History

People (3)

Maintainer (1)

Alex Gibberd

Author, Maintainer

Authors (3)

Alex Gibberd

Author, Maintainer

Tak-Shing Chan

Author

Luke Mosley

Author

Package Timeline

1 release. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
1.0Latest
2026-03-10 · current release
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2023-03-23
Total releases: 1 / 3 yrs
License: GPL (>= 3) OSI
Minimum R: ≥ 3.3.0
Bundled data: 125 KB / 2 files
Download size: 410 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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