Man pages for factorstochvol
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

comtimeplotPlot comunalities over time.
corelementExtract "true" model-implied correlations of two series only
corimageplotPlot correlation matrices for certain points in time
cormatGeneric extraction of correlation matrix
cormat.fsvdrawsExtract posterior draws of the model-implied correlation...
cormat.fsvsimExtract "true" model-implied correlation matrix for several...
corplotPlots pairwise correlations over time
cortimeplotPlot correlations over time.
covelementExtract "true" model-implied covariances of two series only
covmatGeneric extraction of covariance matrix
covmat.fsvdrawsExtract posterior draws of the model-implied covariance...
covmat.fsvsimExtract "true" model-implied covariance matrix for several...
expweightcovComputes the empirical exponentially weighted covariance...
facloadcredplotDisplays bivariate marginal posterior distribution of factor...
facloaddensplotDensity plots of factor loadings draws
facloadpairplotDisplays bivariate marginal posterior distributions of factor...
facloadpointplotDisplays point estimates of the factor loadings posterior.
facloadtraceplotTrace plots of factor loadings draws
factorstochvol-packageBayesian Estimation of (Sparse) Latent Factor Stochastic...
findrestrictAd-hoc method for (weakly) identifying the factor loadings...
fsvsampleMarkov Chain Monte Carlo (MCMC) Sampling for the Factor...
fsvsimSimulate data from a factor SV model
ledermannLedermann bound for the number of factors
logretComputes the log returns of a vector-valued time series
logvartimeplotPlot log-variances over time.
orderidentA posteriori factor order identification
paratraceplotTrace plots of parameter draws.
plotalotSeveral factor SV plots useful for model diagnostics
plot.fsvdrawsDefault factor SV plot
predcondPredicts means and variances conditionally on the factors
predcorPredicts correlation matrix
predcovPredicts covariance matrix
predhPredicts factor and idiosyncratic log-volatilities h
predloglikEvaluates the predictive log likelihood using the predicted...
predloglikWBEvaluates the predictive log likelihood using the Woodbury...
predprecWBPredicts precision matrix and its determinant (Woodbury...
preorderAd-hoc methods for determining the order of variables
print.fsvdrawsPretty printing of an fsvsdraws object
runningcormatExtract summary statistics for the posterior correlation...
runningcovmatExtract summary statistics for the posterior covariance...
signidentA posteriori sign identification
voltimeplotPlot series-specific volatilities over time.
factorstochvol documentation built on Oct. 6, 2019, 5:06 p.m.