Sunday, February 14, 2021

A Dynamic Factor Model for COVID Infections

True daily COVID infections are famously unobserved, but they are related to many observed noisy indicators, like  reported infections, reported deaths, hospitalizations, etc., with various leads and lags, various observational frequencies, etc. Sounds just like the ADS setup for business cycle nowcasting, doesn't it?  It would be great to see someone implement an ADS-style dynamic factor model for real-time monitoring of COVID infections.

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