sampleFLC_orthog: 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 for the special case in which BtB = diag(J).

Usage

sampleFLC_orthog(BtY, Beta, Psi, Omega, 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
Omega	J x J prior precision/penalty matrix
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.