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Dynamical Factor Models (DFM) Implementation (GSOC 2025) #446

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Dynamical Factor Models (DFM) Implementation (GSOC 2025) #446

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38f16a3
Added new file DFM.py for GSOC 2025 Dynamical Factor Models
andreacate Mar 29, 2025
a07f9e6
Add initial notebook on custom DFM implementation
andreacate Apr 7, 2025
ced49ce
Update of DFM draft implementation
andreacate Apr 22, 2025
67efb3d
Aligning the order of vector state with statsmodel and updating the test
andreacate Aug 8, 2025
85c96ec
Added test_DFM_update_matches_statsmodels and small corrections to DF…
andreacate Aug 8, 2025
4d5fcc5
Updating test following test_ETS.py and small adjustment for exog var…
andreacate Aug 9, 2025
7fc5e11
Added support for joint VAR modelling (error_var=True)
andreacate Aug 10, 2025
3290549
Adding a first implemntation of exogeneous variable support based on …
andreacate Aug 14, 2025
5cd01da
Completing the implementation of exogeneous varibales support
andreacate Aug 15, 2025
ad8c0af
Small adjustments and improvements in DFM.py
andreacate Aug 15, 2025
ba6ec2e
Small adjustments and improvements in DFM.py
andreacate Aug 15, 2025
c864af2
Adjustments after Jesse review
andreacate Aug 16, 2025
d10fce8
Adjustments following Jesse suggestions and added tests for exog support
andreacate Aug 16, 2025
3204a19
Added new DFM example notebook and deleted an old version of custom D…
andreacate Aug 18, 2025
1c35fc7
Add tests for names/dims/coords
jessegrabowski Aug 26, 2025
ca1a86e
De-duplicate exogenous dim between DFM and SARIMAX
jessegrabowski Aug 26, 2025
7252d46
Small adjustments and refactoring after code review
andreacate Aug 26, 2025
b1a3c27
Allow exogenous regressors in `BayesianVARMAX` (#567)
jessegrabowski Aug 26, 2025
a329450
Small adjustments in the tests after review
andreacate Aug 27, 2025
4b6f804
Harmonizing names for EXOG dimension between DFM and VARMAX
andreacate Aug 27, 2025
b659d61
Merge branch 'main' into DFM_draft_implementation
andreacate Aug 27, 2025
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2,063 changes: 2,063 additions & 0 deletions notebooks/DFM_Example_(Coincident_Index).ipynb
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