refit

Aggregated indicator series matrix that has been GLS rotated.

Low-frequency response vector that has been GLS rotated.

Estimate of beta from LARS algorithm for a certain lambda.

beta

This function reduces the bias in LASSO estimates by re-fitting the
support back into GLS.

internal

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.

refit: Refit LASSO estimate into GLS

Description

Usage

Arguments