Package: factorstochvol 1.1.0
factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving <doi:10.1080/10618600.2017.1322091>. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.
Authors:
factorstochvol_1.1.0.tar.gz
factorstochvol_1.1.0.tar.gz(r-4.5-noble)factorstochvol_1.1.0.tar.gz(r-4.4-noble)
factorstochvol_1.1.0.tgz(r-4.4-emscripten)factorstochvol_1.1.0.tgz(r-4.3-emscripten)
factorstochvol.pdf |factorstochvol.html✨
factorstochvol/json (API)
NEWS
# Install 'factorstochvol' in R: |
install.packages('factorstochvol', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 1 years agofrom:6581408bca. Checks:OK: 2. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Dec 09 2024 |
R-4.5-linux-x86_64 | OK | Dec 09 2024 |
Exports:comtimeplotcorelementcorimageplotcormatcorplotcortimeplotcovelementcovmatcovtimeplotevdiagexpweightcovfacloadcredplotfacloaddensplotfacloadpairplotfacloadpointplotfacloadtraceplotfindrestrictfsvsamplefsvsimledermannlogretlogvartimeplotorderidentparatraceplotplotalotpredcondpredcorpredcovpredhpredloglikpredloglikWBpredprecWBpreorderrunningcormatrunningcovmatsignidentvoltimeplot
Dependencies:codacorrplotGIGrvglatticeRcppRcppArmadillostochvol