dffm
The goal of dffm is to provide functionality to apply the methods developed in the paper “Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction” by Sven Otto and Nazarii Salish.
Preprint:
https://arxiv.org/abs/2201.02532
Installation
You can install the package using the following command:
library(remotes)
install_github("ottosven/dffm")