https://github.com/chirindaopensource/high_dimensional_matrix_variate_diffusion_index_models

End-to-end Python implementation of Ma et al.'s (2025) matrix-variate diffusion index models for macroeconomic forecasting. Features α-PCA factor extraction, supervised screening, and ILS estimation for high-dimensional forecasting with preserved structural information.

diffusion-index dimension-reduction econometrics factor-models financial-modeling high-dimensional-statistics macroeconomic-forecasting matrix-factorization monte-carlo-simulation numpy principal-component-analysis python quantitative-finance research-replication scientific-computing statistical-computing statistical-modeling supervised-learning time-series-analysis time-series-forecasting

Last synced: 29 Apr 2026