em_converged

Efficient estimation of Dynamic Factor Models using the Expectation Maximization (EM) algorithm
or Two-Step (2S) estimation, supporting datasets with missing data. The estimation options follow advances in the
econometric literature: either running the Kalman Filter and Smoother once with initial values from PCA -
2S estimation as in Doz, Giannone and Reichlin (2011) <doi:10.1016/j.jeconom.2011.02.012> - or via iterated
Kalman Filtering and Smoothing until EM convergence - following Doz, Giannone and Reichlin (2012)
<doi:10.1162/REST_a_00225> - or using the adapted EM algorithm of Banbura and Modugno (2014) <doi:10.1002/jae.2306>,
allowing arbitrary patterns of missing data. The implementation makes heavy use of the 'Armadillo' 'C++' library and
the 'collapse' package, providing for particularly speedy estimation. A comprehensive set of methods supports
interpretation and visualization of the model as well as forecasting. Information criteria to choose the number
of factors are also provided - following Bai and Ng (2002) <doi:10.1111/1468-0262.00273>.

Sebastian Krantz

dfms

Dynamic Factor Models

Rytis Bagdziunas

em_converged function

<dl><dt>loglik</dt>
<dd>numeric. Current value of the log-likelihood function.</dd>
<dt>previous_loglik</dt>
<dd>numeric. Value of the log-likelihood function at the previous iteration.</dd>
<dt>tol</dt>
<dd>numerical. The tolerance of the test. If |LL(t) - LL(t-1)| / avg &lt; tol, where avg = (|LL(t)| + |LL(t-1)|)/2, then algorithm has converged.</dd>
<dt>check.increased</dt>
<dd>logical. Check if likelihood has increased.</dd></dl>

Arguments

Convergence Test for EM-Algorithm — em_converged

<dl>

<dt>loglik</dt>
<dd>numeric. Current value of the log-likelihood function.</dd>


<dt>previous_loglik</dt>
<dd>numeric. Value of the log-likelihood function at the previous iteration.</dd>


<dt>tol</dt>
<dd>numerical. The tolerance of the test. If |LL(t) - LL(t-1)| / avg &lt; tol, where avg = (|LL(t)| + |LL(t-1)|)/2, then algorithm has converged.</dd>


<dt>check.increased</dt>
<dd>logical. Check if likelihood has increased.</dd>

</dl>

em_converged: Convergence Test for EM-Algorithm

Description

Usage

Value

Arguments

Examples