相关论文: Bridging Dynamic Factor Models and Neural Controll…

Recent results in the literature indicate that artificial neural networks (ANNs) can outperform the dynamic factor model (DFM) in terms of the accuracy of GDP nowcasts. Compared to the DFM, the performance advantage of these highly…

We develop a novel Bayesian framework for dynamic modeling of mixed frequency data to nowcast quarterly U.S. GDP growth. The introduced framework utilizes foundational Bayesian theory and treats data sampled at different frequencies as…

In this paper, we present a new approach based on dynamic factor models (DFMs) to perform nowcasts for the percentage annual variation of the Mexican Global Economic Activity Indicator (IGAE in Spanish). The procedure consists of the…

A novel deep neural network framework -- that we refer to as Deep Dynamic Factor Model (D$^2$FM) --, is able to encode the information available, from hundreds of macroeconomic and financial time-series into a handful of unobserved latent…

Economic forecasting is concerned with the estimation of some variable like gross domestic product (GDP) in the next period given a set of variables that describes the current situation or state of the economy, including industrial…

In the dynamic landscape of continuous change, Machine Learning (ML) "nowcasting" models offer a distinct advantage for informed decision-making in both public and private sectors. This study introduces ML-based GDP growth projection models…

Timely assessment of current conditions is essential especially for small, open economies such as Singapore, where external shocks transmit rapidly to domestic activity. We develop a real-time nowcasting framework for quarterly GDP growth…

Nowcasting can play a key role in giving policymakers timelier insight to data published with a significant time lag, such as final GDP figures. Currently, there are a plethora of methodologies and approaches for practitioners to choose…

Deep Feedback Models (DFMs) are a new class of stateful neural networks that combine bottom up input with high level representations over time. This feedback mechanism introduces dynamics into otherwise static architectures, enabling DFMs…

We propose a dynamic factor model (DFM) where the latent factors are linked to observed variables with unknown and potentially nonlinear functions. The key novelty and source of flexibility of our approach is a nonparametric observation…

Deep learning (DL)-based methods have recently shown great promise in bitemporal change detection (CD). Existing discriminative methods based on Convolutional Neural Networks (CNNs) and Transformers rely on discriminative representation…

The purpose of this article is to develop the dimension reduction techniques in panel data analysis when the number of individuals and indicators is large. We use Principal Component Analysis (PCA) method to represent large number of…

Real-time economic information is essential for policy-making but difficult to obtain. We introduce a granular nowcasting method for macro- and industry-level GDP using a network approach and data on real-time monthly inter-industry…

This paper focuses on representation learning for dynamic graphs with temporal interactions. A fundamental issue is that both the graph structure and the nodes own their own dynamics, and their blending induces intractable complexity in the…

Accurate prediction with multimodal data-encompassing tabular, textual, and visual inputs or outputs-is fundamental to advancing analytics in diverse application domains. Traditional approaches often struggle to integrate heterogeneous data…

This article investigates factor-augmented sparse MIDAS (Mixed Data Sampling) regressions for high-dimensional time series data, which may be observed at different frequencies. Our novel approach integrates sparse and dense dimensionality…

We propose novel Bayesian Dynamic Clustering Factor Models (BDCFM) for the analysis of multivariate longitudinal data. BDCFM combines factor models with hidden Markov models to concomitantly perform dimension reduction, clustering, and…

Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive sequentially and the generating model can change over time, Dynamic Model…

sparseDFM is an R package for the implementation of popular estimation methods for dynamic factor models (DFMs) including the novel Sparse DFM approach of Mosley et al. (2023). The Sparse DFM ameliorates interpretability issues of factor…

Recently, numerous deep models have been proposed to enhance the performance of multivariate time series (MTS) forecasting. Among them, Graph Neural Networks (GNNs)-based methods have shown great potential due to their capability to…