# Estimate a Sparse Mixed Frequency Gaussian Factor Model Using a Two-Step Procedure

## Documentation for package ‘TwoStepSDFM’ version 0.2.1

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

crossVal | Cross-validate SDFM Hyper-Parameters
factor_model | Example factor model dataset
kalmanFilterSmoother | Univariate Representation of the Multivariate Kalman Filter and Smoother
mixed_freq_factor_model | Mixed-frequency factor model dataset
noOfFactors | Estimate the number of Factors
nowcast | Predict Mixed-Frequency Data via Dynamic Factor Models
plot.KFSFit | Generic plotting function for KFSFit S3 objects
plot.NoOfFactorsFit | Generic plotting function for NoOfFactorsFit S3 objects
plot.SDFMcrossVal | Generic plotting function for SDFMcrossVal S3 objects
plot.SDFMFit | Generic plotting function for SDFMFit S3 objects
plot.SDFMnowcast | Generic plotting function for SDFMnowcast S3 objects
plot.SimulData | Generic plotting function for SimulData S3 objects
plot.SPCAFit | Generic plotting function for SPCAFit S3 objects
predict.SDFMFit | Generic plotting function for SDFMFit S3 objects
print.KFSFit | Generic printing function for KFSFit S3 objects
print.NoOfFactorsFit | Generic printing function for NoOfFactorsFit S3 objects
print.SDFMcrossVal | Generic print function for SDFMcrossVal S3 objects
print.SDFMFit | Generic printing function for SDFMFit S3 objects
print.SDFMnowcast | Generic print function for SDFMnowcast S3 objects
print.SimulData | Generic printing function for SimulData S3 objects
print.SPCAFit | Generic printing function for SPCAFit S3 objects
simFM | Simulate Dynamic Factor Models.
sparsePCA | Sparse Principal Components Analysis
twoStepDenseDFM | Two Step Dense Dynamic Factor Model Estimator.
twoStepSDFM | Two Step Sparse Dynamic Factor Model Estimator.