sampleFLC_cons: Factor Loading Curve Sampling Algorithm

In drkowal/FDLM: A Bayesian Multivariate Functional Dynamic Linear Model

Description

Sample the factor loading curve basis coefficients subject to an orthonormality constraint with an additional matrix of (orthogonal) constraints as an input.

Usage

sampleFLC_cons(BtY, Beta, Psi, BtB, Omega, BtCon, lambda, sigmat2)

Arguments

BtY	J x T matrix B.t()*Y for basis matrix B
Beta	T x K matrix of factors
Psi	J x K matrix of previous factor loading curve coefficients
BtB	J x J matrix of B.t()*B
Omega	J x J prior precision/penalty matrix
BtCon	J x Jc matrix of additional constraints, pre-multiplied by B.t()
lambda	K-dimensional vector of prior precisions
sigmat2	T-dimensional vector of time-dependent observation error variances

Value

Psi J x K matrix of (orthogonal) factor loading curve coefficients

Note

This function uses Rcpp for computational efficiency.

drkowal/FDLM documentation built on May 20, 2019, 5:20 p.m.