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r-factorstochvol 1.1.1
Channel: guix-cran
Location: guix-cran/packages/f.scm (guix-cran packages f)
Home page: https://cran.r-project.org/package=factorstochvol
Licenses: GPL 2+
Build system: r
Synopsis: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
Description:

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>.

Total results: 1