BayesFM: Package for Bayesian Factor Modeling
The long-term goal of this package is to provide a collection of procedures to perform Bayesian inference on a variety of factor models.
Currently, this package includes: Bayesian Exploratory Factor
befa), as developed in Conti et al. (2014), an approach to
dedicated factor analysis with stochastic search on the structure of the
factor loading matrix. The number of latent factors, as well as the
allocation of the observed variables to the factors, are not fixed a priori
but determined during MCMC sampling. More approaches will be included in
future releases of this package.
This package is under development. You are very welcome to send me any comments or suggestions for improvements, and to share with me any problems you may encounter with the use of this package.
Rémi Piatek firstname.lastname@example.org
G. Conti, S. Frühwirth-Schnatter, J.J. Heckman, R. Piatek (2014): “Bayesian Exploratory Factor Analysis”, Journal of Econometrics, 183(1), pages 31-57, http://dx.doi.org/10.1016/j.jeconom.2014.06.008.
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