orderident: A posteriori factor order identification

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

A posteriori factor order identification

Description

orderident provides some (very ad-hoc) methods for identifying the ordering of the factors after running the (unrestricted) MCMC sampler by ordering according to the argument method.

Usage

orderident(x, method = "summed")

Arguments

x

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

method

Methods currently supported: summean Sort by sum of mean loadings (descending). summeaninv Sort by sum of mean loadings (ascending). summeanabs Sort by sum of mean absolute loadings (descending). summed Sort by sum of median loadings (descending). summedinv Sort by sum of median loadings (ascending). summedabs Sort by sum of median absolute loadings (descending). maxmed Sort by maximum median loadings (descending). maxmedinv Sort by maximum median loadings (ascending). maxmedrel Sort by maximum median loadings, relative to the sum of all median loadings on that factor (descending). maxmedabsrel Sort by maximum absolute median loadings, relative to the sum of all median loadings on that factor (descending).

Value

Returns an object of class 'fsvdraws' with adjusted ordering.

See Also

Other postprocessing: signident()

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