GCCfactor - GCC Estimation of the Multilevel Factor Model
Provides methods for model selection, estimation, bootstrap inference, and simulation for the multilevel factor model, based on the principal component estimation and generalised canonical correlation approach. Details can be found in "Generalised Canonical Correlation Estimation of the Multilevel Factor Model." Lin and Shin (2023) <doi:10.2139/ssrn.4295429>.
Last updated 1 years ago
1.00 score 186 downloadsL2hdchange - L2 Inference for Change Points in High-Dimensional Time Series
Provides a method for detecting multiple change points in high-dimensional time series, targeting dense or spatially clustered signals. See Li et al. (2023) "L2 Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM". arXiv preprint <arXiv:2208.13074>.
Last updated 2 years ago
1.00 score 1 stars 1 scripts 201 downloads