factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

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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
2016-09-20 13:01:48
Maintainer
Gregor Kastner <gregor.kastner@wu.ac.at>
License
GPL (>= 2)
Version
0.8.2

View on CRAN

Man pages

comtimeplot
Plot comunalities over time.
corelement
Extract "true" model-implied correlations of two series only
corimageplot
Plot correlation matrices for certain points in time
corplot
Plots pairwise correlations over time
cortimeplot
Plot correlations over time.
covelement
Extract "true" model-implied covariances of two series only
covmat
Generic extraction of covariance matrix
covmat.fsvdraws
Extract posterior draws of the model-implied covariance...
covmat.fsvsim
Extract "true" model-implied covariance matrix for several...
facloadcredplot
Displays bivariate marginal posterior distribution of factor...
facloaddensplot
Density plots of factor loadings draws
facloadpairplot
Displays bivariate marginal posterior distributions of factor...
facloadpointplot
Displays point estimates of the factor loadings posterior.
facloadtraceplot
Trace plots of factor loadings draws
factorstochvol-package
Bayesian Estimation of (Sparse) Latent Factor Stochastic...
fsvsample
Markov Chain Monte Carlo (MCMC) Sampling for the Factor...
fsvsim
Simulate data from a factor SV model
ledermann
Ledermann bound for the number of factors
logret
Computes the log returns of a vector-valued time series
logvartimeplot
Plot log-variances over time.
orderident
A posteriori factor order identification
paratraceplot
Trace plots of parameter draws
plot.fsvdraws
Several factor SV plots
predcond
Predicts means and variances conditionally on the factors
predcor
Predicts correlation matrix
predcov
Predicts covariance matrix
predh
Predicts factor and idiosyncratic log-volatilities h
predloglik
Evaluates the predictive log likelihood using the predicted...
predloglikWB
Evaluates the predictive log likelihood using the Woodbury...
predprecWB
Predicts precision matrix and its determinant (Woodbury...
preorder
Ad-hoc methods for determining the order of variables
print.fsvdraws
Pretty printing of an fsvsdraws object
runningcormat
Extract summary statistics for the posterior correlation...
runningcovmat
Extract summary statistics for the posterior covariance...
signident
A posteriori sign identification
voltimeplot
Plot series-specific volatilities over time.

Files in this package

factorstochvol
factorstochvol/inst
factorstochvol/inst/CITATION
factorstochvol/src
factorstochvol/src/Makevars
factorstochvol/src/testrgig.cpp
factorstochvol/src/dmvnorm.h
factorstochvol/src/sampler.cpp
factorstochvol/src/predict.cpp
factorstochvol/src/progutils.cpp
factorstochvol/src/dmvnorm.cpp
factorstochvol/src/Makevars.win
factorstochvol/src/sampler.h
factorstochvol/src/predict.h
factorstochvol/src/progutils.h
factorstochvol/NAMESPACE
factorstochvol/NEWS
factorstochvol/R
factorstochvol/R/utilities_other.R
factorstochvol/R/plotting.R
factorstochvol/R/utilities_fsvdraws.R
factorstochvol/R/factorstochvol-package.R
factorstochvol/R/utilities_fsvsim.R
factorstochvol/R/generics.R
factorstochvol/R/wrappers.R
factorstochvol/R/simulation.R
factorstochvol/R/zzz.R
factorstochvol/R/imports.R
factorstochvol/MD5
factorstochvol/DESCRIPTION
factorstochvol/man
factorstochvol/man/predprecWB.Rd
factorstochvol/man/voltimeplot.Rd
factorstochvol/man/paratraceplot.Rd
factorstochvol/man/predcor.Rd
factorstochvol/man/plot.fsvdraws.Rd
factorstochvol/man/predcov.Rd
factorstochvol/man/facloadpointplot.Rd
factorstochvol/man/facloadcredplot.Rd
factorstochvol/man/covmat.fsvdraws.Rd
factorstochvol/man/predloglikWB.Rd
factorstochvol/man/print.fsvdraws.Rd
factorstochvol/man/comtimeplot.Rd
factorstochvol/man/covmat.fsvsim.Rd
factorstochvol/man/orderident.Rd
factorstochvol/man/preorder.Rd
factorstochvol/man/facloadpairplot.Rd
factorstochvol/man/predh.Rd
factorstochvol/man/signident.Rd
factorstochvol/man/predcond.Rd
factorstochvol/man/fsvsample.Rd
factorstochvol/man/ledermann.Rd
factorstochvol/man/fsvsim.Rd
factorstochvol/man/covmat.Rd
factorstochvol/man/logret.Rd
factorstochvol/man/facloaddensplot.Rd
factorstochvol/man/corplot.Rd
factorstochvol/man/logvartimeplot.Rd
factorstochvol/man/covelement.Rd
factorstochvol/man/facloadtraceplot.Rd
factorstochvol/man/cortimeplot.Rd
factorstochvol/man/corelement.Rd
factorstochvol/man/runningcovmat.Rd
factorstochvol/man/factorstochvol-package.Rd
factorstochvol/man/runningcormat.Rd
factorstochvol/man/predloglik.Rd
factorstochvol/man/corimageplot.Rd