Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix.
|Author||Gregor Kastner [aut, cre]|
|Date of publication||2016-12-31 17:21:54|
|Maintainer||Gregor Kastner <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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