11#=
22DynamicFactorModels.jl
33
4- Provides a collection of tools for working with dynamic factor models, such
5- as estimation, w/ and w/o regularization, forecasting, filtering, and
6- smoothing.
4+ Provides a collection of tools for working with dynamic factor models, such
5+ as estimation, w/ and w/o regularization, forecasting, filtering, and
6+ smoothing.
77
88@author: Quint Wiersma <q.wiersma@vu.nl>
99
@@ -38,7 +38,6 @@ using ProgressMeter
3838
3939using StatsAPI: aic, aicc, bic
4040
41- import Base: show, size, copy
4241import Statistics: mean, var, cov
4342import StatsAPI: params, params!, fit!, loglikelihood, dof, nobs
4443import ProximalOperators: prox!
5049 NelsonSiegelStationary, NelsonSiegelUnitRoot, # Nelson-Siegel factor processes
5150 ZeroMean, Exogenous, # mean specifications
5251 Simple, SpatialAutoregression, SpatialMovingAverage, # error models
53- NormL21Weighted, NormL1plusL21, TotalVariation1D, # regularizers
52+ NormL21Weighted, NormL1plusL21, TotalVariation1D, # regularizers
5453
5554 # interface methods
5655 # # getters
@@ -67,13 +66,13 @@ export
6766 fit!,
6867 model_tuning_ic!, model_tuning_cv!,
6968 loglikelihood,
70- dof, nobs, aic, aicc, bic,
69+ dof, nobs, nfactors, aic, aicc, bic,
7170
7271 # forecast
7372 forecast,
7473
7574 # irf
76- girf
75+ irf
7776
7877include (" types.jl" )
7978include (" show.jl" )
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