ARcov_lit

<p>Function to generate an ARIMA(1,1,0) variance-covariance matrix for the Litterman method with parameter rho s.t. |rho| &lt; 1.</p>

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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) <arXiv:2108.05783> for disaggregating low-frequency series in the presence of high-dimensional indicator matrices.

Luke Mosley

TSdisaggregation

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

Description

Usage

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