High-Dimensional Temporal Disaggregation
Likelihood function from Chow-Lin or Litterman temporal disaggregation...
Function to generate an AR(1) variance-covariance matrix with paramete...
Function to generate an ARIMA(1,1,0) variance-covariance matrix for th...
Function to do Chow-Lin temporal disaggregation from if(!exists(".Rdpa...
Temporal Disaggregation Methods
BIC score
Index of support for LARS algorithm when in high-dimensions
Refit LASSO estimate into GLS
Function to do sparse temporal disaggregation from if(!exists(".Rdpack...
Function to calculate the BIC score from sparse temporal disaggregatio...
High and Low-Frequency Data Generating Processes
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.