evdiag: Plots posterior draws and posterior means of the eigenvalues...

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

Plots posterior draws and posterior means of the eigenvalues of crossprod(facload)

Description

evdiag computes, returns, and visualizes the eigenvalues of crossprod(facload). This can be used as a rough guide to choose the numbers of factors in a model.

Usage

evdiag(x)

Arguments

x	Object of class 'fsvdraws', usually resulting from a call to fsvsample.

Value

Invisibly returns a matrix with posterior samples of the eigenvalues of crossprod(facload)

Note

Experimental feature. Please be aware that - for the sake of simplicity and interpretability - both the time-varying idiosyncratic as well as the time-varying factor volatilities are simply ignored.

See Also

Other plotting: comtimeplot(), corimageplot(), corplot(), cortimeplot(), facloadcredplot(), facloaddensplot(), facloadpairplot(), facloadpointplot(), facloadtraceplot(), logvartimeplot(), paratraceplot(), plot.fsvdraws(), plotalot(), voltimeplot()

factorstochvol documentation built on Nov. 24, 2023, 5:08 p.m.