estimate
Estimate Dynamo using static principal components
Syntax
[a, outputDb, contribDb, range] = estimate(a, inputDb, range, [R, Q], ___)
Input arguments
a
[ Dynamo ]
Empty Dynamo object.
inputDb
[ struct ]
Input database.
range
[ numeric ]
Estimation range.
R
[ numeric ]
Selection criterion for the number of factors: Minimum requested proportion of input data volatility explained by the factors
Q
[ numeric ]
Selection criterion for the number of factors: Maximum number of factors
Output arguments
A
[ Dynamo ]
Estimated Dynamo object.
outputDb
[ struct ]
Output database with the observed series, their common components (
common_?
), the estimates of the factors (factor?
), the idiosyncratic residuals (res_?
) and the factor residuals (res_factor?
).
contribDb
[ struct ]
Contributions of the individual input series to the estimated factors.
Options
Cross=true
[ true
| false
| numeric ]
Keep off-diagonal elements in the covariance matrix of idiosyncratic residuals; if false all cross-covariances are reset to zero; if a number between zero and one, all cross-covariances are multiplied by that number
Order=1
[ numeric ]
Order of the VAR for factors
Rank=Inf
[ numeric ]
Restriction on the rank of the factor VAR residuals.