Estimate a sparse Gaussian state-space model with mixed frequency
data via sparse principal components analysis and the Kalman filter
and smoother. For more details see Franjic and Schweikert (2024) <doi:10.2139/ssrn.4733872>.
| Version: |
0.2.0 |
| Depends: |
R (≥ 4.0) |
| Imports: |
Rcpp (≥ 1.0.8), zoo, xts, lubridate, ggplot2, patchwork, doSNOW, doParallel, foreach, parallel, Rdpack, grDevices, withr |
| LinkingTo: |
Rcpp, RcppEigen |
| Suggests: |
knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: |
2026-04-21 |
| DOI: |
10.32614/CRAN.package.TwoStepSDFM (may not be active yet) |
| Author: |
Domenic Franjic [aut, cre] |
| Maintainer: |
Domenic Franjic <franjic at uni-hohenheim.de> |
| License: |
GPL-3 |
| NeedsCompilation: |
yes |
| Materials: |
README, NEWS |
| CRAN checks: |
TwoStepSDFM results |