sampleFLC_cons: Factor Loading Curve Sampling Algorithm

Description Usage Arguments Value Note

View source: R/RcppExports.R

Description

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

Usage

1
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/dfosr documentation built on May 7, 2020, 3:09 p.m.