sptd_BIC

The low-frequency response series (n_l x 1 matrix).

The aggregated high-frequency indicator series (n_l x p matrix).

Aggregated variance-covariance matrix of AR(1) residuals.

vcov

Used in disaggregation.R to find estimates of the optimal rho parameter.

disaggregation

temporal

Litterman

chow

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.

sptd_BIC: Function to calculate the BIC score from sparse temporal disaggregation.

Description

Usage

Arguments

References