sampleFLC_cons_1: Factor Loading Curve Sampling Algorithm for K=1

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

Description

Sample the factor loading curve basis coefficients for K=1 factor subject to an additional matrix of (orthogonal) constraints as an input.

Usage

sampleFLC_cons_1(BtY, Beta, Psi, BtB, Omega, BtCon, lambda, sigmat2)

Arguments

BtY	J x T matrix B.t()*Y for basis matrix B
Beta	T x 1 matrix of factors
Psi	J x 1 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	1-dimensional vector of prior precisions
sigmat2	T-dimensional vector of time-dependent observation error variances

Value

Psi J x 1 matrix of factor loading curve coefficients

Note

This function uses Rcpp for computational efficiency.

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