Other packages > Find by keyword >

factorstochvol  

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
View on CRAN: Click here


Download and install factorstochvol package within the R console
Install from CRAN:
install.packages("factorstochvol")

Install from Github:
library("remotes")
install_github("cran/factorstochvol")

Install by package version:
library("remotes")
install_version("factorstochvol", "1.1.0")



Attach the package and use:
library("factorstochvol")
Maintained by
Gregor Kastner
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-08-31
Latest Update: 2023-11-24
Description:
Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving . Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix .
How to cite:
Gregor Kastner (2016). factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models. R package version 1.1.0, https://cran.r-project.org/web/packages/factorstochvol. Accessed 03 Dec. 2024.
Previous versions and publish date:
0.8.1 (2016-08-31 08:39), 0.8.2 (2016-09-20 13:01), 0.8.3 (2016-12-31 17:21), 0.9.2 (2019-06-27 11:50), 0.9.3 (2019-10-06 16:10), 0.9 (2019-02-01 15:23), 0.10.0 (2020-11-09 11:20), 0.10.1 (2020-11-13 23:40), 0.10.2 (2021-02-09 19:10), 1.0.0 (2021-11-29 12:40), 1.0.1 (2021-12-07 10:00), 1.0.2 (2023-09-09 23:30), 1.0.6 (2023-10-12 16:30)
Other packages that cited factorstochvol R package
View factorstochvol citation profile
Other R packages that factorstochvol depends, imports, suggests or enhances
Complete documentation for factorstochvol
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
CRANsearcher  
RStudio Addin for Searching Packages in CRAN Database Based on Keywords
One of the strengths of R is its vast package ecosystem. Indeed, R packages extend from visualizatio ...
Download / Learn more Package Citations See dependency  
FSInteract  
Fast Searches for Interactions
Performs fast detection of interactions in large-scale data using the method of random intersection ...
Download / Learn more Package Citations See dependency  
donut  
Nearest Neighbour Search with Variables on a Torus
Finds the k nearest neighbours in a dataset of specified points, adding the option to wrap certain ...
Download / Learn more Package Citations See dependency  
EDOtrans  
Euclidean Distance-Optimized Data Transformation
A data transformation method which takes into account the special property of scale non-invariance w ...
Download / Learn more Package Citations See dependency  
telemac  
R Interface to the TELEMAC Model Suite
An R interface to the TELEMAC suite for modelling of free surface flow. This includes methods for m ...
Download / Learn more Package Citations See dependency  

23,310

R Packages

200,798

Dependencies

63,203

Author Associations

23,278

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA