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ℓ1 正则化广义最小二乘估计AI 解读

We study an $\ell_{1}$-regularized generalized least-squares (GLS) estimator for high-dimensional regressions with autocorrelated errors. Specifically, we consider the case where errors are assumed to follow an autoregressive process, alongside a feasible variant of GLS that estimates the structure of this process in a data-driven manner. The estimation procedure consists of three steps: performing a LASSO regression, fitting an autoregressive model to the realized…

利用众多指标进行时间序列频率分解：DisaggregateTS 软件包概览AI 解读

Low-frequency time-series (e.g., quarterly data) are often treated as benchmarks for interpolating to higher frequencies, since they generally exhibit greater precision and accuracy in contrast to their high-frequency counterparts (e.g., monthly data) reported by governmental bodies. An array of regression-based methods have been proposed in the literature which aim to estimate a target high-frequency series using higher frequency indicators. However, in the era of big data…

sparseDFM：估计稀疏载荷动态因子模型的 R 包AI 解读

sparseDFM is an R package for the implementation of popular estimation methods for dynamic factor models (DFMs) including the novel Sparse DFM approach of Mosley et al. (2023). The Sparse DFM ameliorates interpretability issues of factor structure in classic DFMs by constraining the loading matrices to have few non-zero entries (i.e. are sparse). Mosley et al. (2023) construct an efficient expectation maximisation (EM) algorithm to enable estimation of model parameters using…

稀疏动态因子模型：正则化准最大似然方法AI 解读

The concepts of sparsity, and regularised estimation, have proven useful in many high-dimensional statistical applications. Dynamic factor models (DFMs) provide a parsimonious approach to modelling high-dimensional time series, however, it is often hard to interpret the meaning of the latent factors. This paper formally introduces a class of sparse DFMs whereby the loading matrices are constrained to have few non-zero entries, thus increasing interpretability of factors. We…

稀疏时间频率分解AI 解读

Temporal disaggregation is a method commonly used in official statistics to enable high-frequency estimates of key economic indicators, such as GDP. Traditionally, such methods have relied on only a couple of high-frequency indicator series to produce estimates. However, the prevalence of large, and increasing, volumes of administrative and alternative data-sources motivates the need for such methods to be adapted for high-dimensional settings. In this article, we propose a…