get_sigma_list

Returns the list of covariance matrices used to construct the ellipsoids.

Provides a comprehensive framework in R for modeling and forecasting economic scenarios based on multi-level dynamic factor model. The package enables users to: (i) extract global and group-specific factors using a flexible multi-level factor structure; (ii) compute asymptotically valid confidence regions for the estimated factors, accounting for uncertainty in the factor loadings; (iii) obtain estimates of the parameters of the factor-augmented quantile regressions together with their standard deviations; (iv) recover full predictive conditional densities from estimated quantiles; (v) obtain risk measures based on extreme quantiles of the conditional densities; (vi) estimate the conditional density and the corresponding extreme quantiles when the factors are stressed.

Gian Pietro Bellocca

FARS

Factor-Augmented Regression Scenarios

Ignacio Garrón

Vladimir Rodríguez-Caballero

Esther Ruiz

get_sigma_list function

<dl><dt>x</dt>
<dd>An object of class <code>fars_scenario</code>.</dd>
<dt>...</dt>
<dd>Additional arguments (ignored).</dd></dl>

Arguments

Generic Function to Get Sigma List — get_sigma_list

<dl>

<dt>x</dt>
<dd>An object of class <code>fars_scenario</code>.</dd>


<dt>...</dt>
<dd>Additional arguments (ignored).</dd>

</dl>

get_sigma_list: Generic Function to Get Sigma List

Description

Usage

Value

Arguments