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Caterina Schiavoni's Projects

high_dimensional_state_space_model icon high_dimensional_state_space_model

R codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel.

importance_sampling icon importance_sampling

R codes to implement two examples for the mode and importance sampling estimation methods.

time_varying_correlation icon time_varying_correlation

R and C++ codes that can be used to replicate the empirical results obtained in the paper "Time-varying state correlations in state space models and their estimation via indirect inference" by Caterina Schiavoni, Siem Jan Koopman, Franz Palm, Stephan Smeekes and Jan van den Brakel.

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