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appMFVAR
- 混频向量自回归模型,用于处理混频数据,可以避免同频数据导致的信息缺失-mixfrequency VAR
数据加窗与混叠
- 对数据进行加窗处理(切比雪夫窗),加窗处理后然后再进行混叠处理,通过频域来看出加窗与混叠对数据的影响(Windowed data processing (Chebyshev window), windowed processing, and then aliasing processing, through the frequency domain to see the window and aliasing impact on the data)
code
- 对混频数据使用白聚山和主成分方法提取同质因子和异质因子,再使用tvpSV方法对所得的因子进行随机波动分析(Extraction of homogeneous and heterogeneous factor factor using the principal component method of Bai Jushan and mixing data, then use tvpSV method for stochastic volatility factor analysis on inco