sptd_BIC {DisaggregateTS}R Documentation

BIC Score for Sparse Temporal Disaggregation

Description

This function calculates the BIC score for sparse temporal disaggregation, as described in Mosley et al. (2022). It uses the LARS algorithm to find the optimal beta coefficients and refits the models to compute BIC scores.

Usage

sptd_BIC(Y, X, vcov)

Arguments

Y

The low-frequency response series (n_l \times 1 matrix).

X

The aggregated high-frequency indicator series (n_l \times p matrix).

vcov

Aggregated variance-covariance matrix of AR(1) residuals (n_l \times n_l matrix).

Value

    The minimum BIC score from the refitted models.

[Package DisaggregateTS version 3.0.1 Index]