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TSdisaggregation (version 2.0.0)

High-Dimensional Temporal Disaggregation

Description

First - Generates (potentially high-dimensional) high-frequency and low-frequency series for simulation studies in temporal disaggregation; Second - a toolkit utilizing temporal disaggregation and benchmarking techniques with a low-dimensional matrix of indicator series previously proposed in Dagum and Cholette (2006, ISBN:978-0-387-35439-2) ; and Third - novel techniques proposed by Mosley, Gibberd and Eckley (2021) for disaggregating low-frequency series in the presence of high-dimensional indicator matrices.

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Version

Install

install.packages('TSdisaggregation')

Monthly Downloads

130

Version

2.0.0

License

GPL (>= 3)

Maintainer

Luke Mosley

Last Published

May 18th, 2022

Functions in TSdisaggregation (2.0.0)

k.index

Index of support for LARS algorithm when in high-dimensions
hdBIC

BIC score
sptd_BIC

Function to calculate the BIC score from sparse temporal disaggregation.
sptd

Function to do sparse temporal disaggregation from mosley2021sparse;textualTSdisaggregation.
ARcov_lit

Function to generate an ARIMA(1,1,0) variance-covariance matrix for the Litterman method with parameter rho s.t. |rho| < 1.
ARcov

Function to generate an AR(1) variance-covariance matrix with parameter rho s.t. |rho| < 1.
chowlin

Function to do Chow-Lin temporal disaggregation from chow1971best;textualTSdisaggregation and Litterman.
TempDisaggDGP

High and Low-Frequency Data Generating Processes
refit

Refit LASSO estimate into GLS
chowlin_likelihood

Likelihood function from Chow-Lin or Litterman temporal disaggregation.
disaggregate

Temporal Disaggregation Methods