factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
Version 0.8.3

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.

AuthorGregor Kastner [aut, cre]
Date of publication2016-12-31 17:21:54
MaintainerGregor Kastner <gregor.kastner@wu.ac.at>
LicenseGPL (>= 2)
Version0.8.3
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("factorstochvol")

Getting started

Package overview

Popular man pages

covmat.fsvsim: Extract "true" model-implied covariance matrix for several...
facloadcredplot: Displays bivariate marginal posterior distribution of factor...
facloadpointplot: Displays point estimates of the factor loadings posterior.
ledermann: Ledermann bound for the number of factors
plot.fsvdraws: Several factor SV plots
predcov: Predicts covariance matrix
predloglik: Evaluates the predictive log likelihood using the predicted...
See all...

All man pages Function index File listing

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...
expweightcov: Computes the empirical exponentially weighted covariance...
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...
findrestrict: Ad-hoc method for (weakly) identifying the factor loadings...
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.

Functions

comtimeplot Man page Source code
corelement Man page Source code
corimageplot Man page Source code
corplot Man page Source code
cortimeplot Man page Source code
covelement Man page Source code
covmat Man page Source code
covmat.fsvdraws Man page Source code
covmat.fsvsim Man page Source code
covtimeplot Man page Source code
expweightcov Man page Source code
facloadcredplot Man page Source code
facloaddensplot Man page Source code
facloadpairplot Man page Source code
facloadpointplot Man page Source code
facloadtraceplot Man page Source code
factorstochvol-package Man page
findrestrict Man page Source code
fsvsample Man page Source code
fsvsim Man page Source code
ledermann Man page Source code
logret Man page Source code
logret.data.frame Man page Source code
logret.matrix Man page Source code
logvartimeplot Man page Source code
myrgig Source code
onAttach Source code
orderident Man page Source code
paratraceplot Man page Source code
plot.fsvdraws Man page Source code
predcond Man page Source code
predcondOLD Source code
predcor Man page Source code
predcov Man page Source code
predh Man page Source code
predloglik Man page Source code
predloglikWB Man page Source code
predprecWB Man page Source code
preorder Man page Source code
print.fsvdraws Man page Source code
runningcormat Man page Source code
runningcovmat Man page Source code
rvolonly Source code
signident Man page Source code
standardizer Source code
vecdmvnorm Source code
voltimeplot Man page Source code

Files

inst
inst/CITATION
src
src/Makevars
src/testrgig.cpp
src/dmvnorm.h
src/sampler.cpp
src/predict.cpp
src/progutils.cpp
src/dmvnorm.cpp
src/Makevars.win
src/sampler.h
src/predict.h
src/progutils.h
NAMESPACE
NEWS
R
R/utilities_other.R
R/plotting.R
R/utilities_fsvdraws.R
R/factorstochvol-package.R
R/utilities_fsvsim.R
R/generics.R
R/wrappers.R
R/simulation.R
R/zzz.R
R/imports.R
MD5
DESCRIPTION
man
man/predprecWB.Rd
man/expweightcov.Rd
man/voltimeplot.Rd
man/paratraceplot.Rd
man/predcor.Rd
man/plot.fsvdraws.Rd
man/predcov.Rd
man/facloadpointplot.Rd
man/facloadcredplot.Rd
man/covmat.fsvdraws.Rd
man/predloglikWB.Rd
man/print.fsvdraws.Rd
man/comtimeplot.Rd
man/covmat.fsvsim.Rd
man/orderident.Rd
man/preorder.Rd
man/facloadpairplot.Rd
man/predh.Rd
man/signident.Rd
man/predcond.Rd
man/fsvsample.Rd
man/ledermann.Rd
man/fsvsim.Rd
man/covmat.Rd
man/logret.Rd
man/facloaddensplot.Rd
man/corplot.Rd
man/logvartimeplot.Rd
man/covelement.Rd
man/facloadtraceplot.Rd
man/cortimeplot.Rd
man/corelement.Rd
man/runningcovmat.Rd
man/factorstochvol-package.Rd
man/runningcormat.Rd
man/predloglik.Rd
man/corimageplot.Rd
man/findrestrict.Rd
factorstochvol documentation built on May 19, 2017, 7:55 a.m.

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