Package: dfms
Version: 0.3.0
Title: Dynamic Factor Models
Authors@R: c(person("Sebastian", "Krantz", role = c("aut", "cre"), email = "sebastian.krantz@graduateinstitute.ch"),
             person("Rytis", "Bagdziunas", role = "aut"),
             person("Santtu", "Tikka", role = "rev"),
             person("Eli", "Holmes", role = "rev"))
Description: Efficient estimation of Dynamic Factor Models using the Expectation Maximization (EM) algorithm 
  or Two-Step (2S) estimation, supporting datasets with missing data. Factors are assumed to follow a stationary VAR 
  process of order p. The estimation options follow advances in the econometric literature: either running the Kalman 
  Filter and Smoother once with initial values from PCA - 2S estimation as in Doz, Giannone and Reichlin (2011) 
  <doi:10.1016/j.jeconom.2011.02.012> - or via iterated Kalman Filtering and Smoothing until EM convergence - following 
  Doz, Giannone and Reichlin (2012) <doi:10.1162/REST_a_00225> - or using the adapted EM algorithm of Banbura and 
  Modugno (2014) <doi:10.1002/jae.2306>, allowing arbitrary patterns of missing data. The implementation makes heavy 
  use of the 'Armadillo' 'C++' library and the 'collapse' package, providing for particularly speedy estimation. 
  A comprehensive set of methods supports interpretation and visualization of the model as well as forecasting. 
  Information criteria to choose the number of factors are also provided - following Bai and Ng (2002) 
  <doi:10.1111/1468-0262.00273>.
URL: https://sebkrantz.github.io/dfms/
BugReports: https://github.com/SebKrantz/dfms/issues
Depends: R (>= 3.5.0)
Imports: Rcpp (>= 1.0.1), collapse (>= 2.0.0)
LinkingTo: Rcpp, RcppArmadillo
Suggests: xts, vars, magrittr, testthat (>= 3.0.0), knitr, rmarkdown,
        covr
License: GPL-3
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.2.3
Config/testthat/edition: 3
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2025-05-18 00:32:38 UTC; sebastiankrantz
Author: Sebastian Krantz [aut, cre],
  Rytis Bagdziunas [aut],
  Santtu Tikka [rev],
  Eli Holmes [rev]
Maintainer: Sebastian Krantz <sebastian.krantz@graduateinstitute.ch>
Repository: CRAN
Date/Publication: 2025-05-18 04:50:02 UTC
Built: R 4.6.0; x86_64-w64-mingw32; 2025-08-19 01:35:28 UTC; windows
Archs: x64
