bayesdfa: Bayesian Dynamic Factor Analysis (DFA) with 'Stan'

Implements Bayesian dynamic factor analysis with 'Stan'. Dynamic factor analysis is a dimension reduction tool for multivariate time series. 'bayesdfa' extends conventional dynamic factor models in several ways. First, extreme events may be estimated in the latent trend by modeling process error with a student-t distribution. Second, alternative constraints (including proportions are allowed). Third, the estimated dynamic factors can be analyzed with hidden Markov models to evaluate support for latent regimes.

Package details

AuthorEric J. Ward [aut, cre], Sean C. Anderson [aut], Luis A. Damiano [aut], Michael J. Malick [aut], Mary E. Hunsicker, [ctb], Mike A. Litzow [ctb], Mark D. Scheuerell [ctb], Elizabeth E. Holmes [ctb], Nick Tolimieri [ctb], Trustees of Columbia University [cph]
MaintainerEric J. Ward <eric.ward@noaa.gov>
LicenseGPL (>= 3)
Version1.3.1
URL https://fate-ewi.github.io/bayesdfa/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("bayesdfa")

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bayesdfa documentation built on Oct. 11, 2023, 5:14 p.m.