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  • Vrije Universiteit Amsterdam
  • Amsterdam, NL

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  1. DynamicFactorModels.jl DynamicFactorModels.jl Public

    Provides methods dynamic factor models, such as estimation, w/ and w/o penalization, forecasting and filtering

    Julia

  2. TensorAutoregressions.jl TensorAutoregressions.jl Public

    Provides methods for tensor-valued autoregressive modelling, such as estimation, forecasting and impulse response function (IRF) analysis

    Julia 1

  3. StateSpace.jl StateSpace.jl Public

    Provides methods for a linear Gaussian State Space model such as filtering (Kalman filter), smoothing (Kalman smoother), forecasting, likelihood evaluation, and estimation of hyperparameters (Maxim…

    Julia 4