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 |
| 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 |
| Reference manual: | TwoStepSDFM.html , TwoStepSDFM.pdf |
| Vignettes: |
Introduction to TwoStepSDFM (source, R code) |
| Package source: | TwoStepSDFM_0.2.0.tar.gz |
| Windows binaries: | r-devel: TwoStepSDFM_0.2.0.zip, r-release: TwoStepSDFM_0.2.0.zip, r-oldrel: TwoStepSDFM_0.2.0.zip |
| macOS binaries: | r-release (arm64): TwoStepSDFM_0.2.0.tgz, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available |
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