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Update and clean-up interface
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.gitignore

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*.jl.cov
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*.jl.mem
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/Manifest.toml
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/.JuliaFormatter.toml

src/DynamicFactorModels.jl

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#=
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DynamicFactorModels.jl
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Provides a collection of tools for working with dynamic factor models, such
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as estimation, w/ and w/o regularization, forecasting, filtering, and
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smoothing.
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Provides a collection of tools for working with dynamic factor models, such
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as estimation, w/ and w/o regularization, forecasting, filtering, and
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smoothing.
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@author: Quint Wiersma <q.wiersma@vu.nl>
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using StatsAPI: aic, aicc, bic
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import Base: show, size, copy
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import Statistics: mean, var, cov
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import StatsAPI: params, params!, fit!, loglikelihood, dof, nobs
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import ProximalOperators: prox!
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NelsonSiegelStationary, NelsonSiegelUnitRoot, # Nelson-Siegel factor processes
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ZeroMean, Exogenous, # mean specifications
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Simple, SpatialAutoregression, SpatialMovingAverage, # error models
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NormL21Weighted, NormL1plusL21, TotalVariation1D, # regularizers
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NormL21Weighted, NormL1plusL21, TotalVariation1D, # regularizers
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# interface methods
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## getters
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fit!,
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model_tuning_ic!, model_tuning_cv!,
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loglikelihood,
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dof, nobs, aic, aicc, bic,
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dof, nobs, nfactors, aic, aicc, bic,
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# forecast
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forecast,
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# irf
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girf
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irf
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include("types.jl")
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include("show.jl")

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