{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for multivariate modeling and forecasting

Dynamic Factor Models for R

Automated DFM Nowcasting Model and Platform for South Africa (Active Repo at coderaanalytics-models/SA-Nowcast)

A Julia implementation of estimation and validation algorithms for time series compatible with incomplete data.

Create dynamic factor models in R with the dfms package

Provides methods for dynamic factor models, such as estimation, w/ and w/o penalization, forecasting and filtering

I have performed a time series analysis of the stock prices of Tata Consultancy Services from 2002 to 2021. I have started by visualising the data. And then I fitted models like an autoregressive integrated moving average (ARIMA) model, Vector autoregression (VAR), SARIMA (seasonal ARIMA) model, UCM, and Dynamic Factor models.

Code for Master Thesis titled: "Dynamic Factor Model with Time-Varying Parameters: Simulation Study & Application to International Inflation Dynamics"