Learn R Programming

bfa (version 0.4)

bfa_gauss: Initialize and fit a Gaussian factor model

Description

This function performs a specified number of MCMC iterations and returns an object containing summary statistics from the MCMC samples as well as the actual samples of factor scores if keep.scores is TRUE. Default behavior is to save only samples of the loadings.

Usage

bfa_gauss(x, data = NULL, num.factor = 1, restrict = NA, nsim = 10000, nburn = 1000, thin = 1, print.status = 500, keep.scores = FALSE, loading.prior = c("gdp", "pointmass", "normal"), factor.scales = TRUE, coda = "loadings", ...)

Arguments

x
A formula or bfa object.
data
The data (if x is a formula)
num.factor
Number of factors
restrict
A matrix or list giving identifiability restrictions on factor loadings. A matrix should be the same size as the loadings matrix. Acceptable values are 0 (identically 0), 1 (unrestricted), or 2 (strictly positive). List elements should be character vectors of the form c("variable",1, ">0") where 'variable' is the manifest variable, 1 is the factor, and ">0" is the restriction. Acceptable restrictions are ">0" or "0".
nsim
Number of iterations past burn-in
nburn
Number of initial (burn-in) iterations to discard
thin
Keep every thin'th MCMC sample (i.e. save nsim/thin samples)
print.status
How often to print status messages to console
keep.scores
Save samples of factor scores
loading.prior
Specify the prior on factor loadings - generalized double Pareto ("gdp", default), point mass mixtures (mixture of point mass at zero + mean zero normal) ("pointmass") or normal/Gaussian ("normal")
factor.scales
Include a shared precision parameter for each column of the factor loadings matrix. See details for setting hyperprior parameters. This is implemented as in PX-FA of Ghosh and Dunson (2009)
coda
Create mcmc objects to allow use of functions from the coda package: "all" for loadings and scores, "loadings" or "scores" for one or the other, or "none" for neither
...
Prior parameters and other (experimental) arguments (see details)

Value

A bfa object with posterior samples.

Details

Note: All the priors in use assume that the manifest variables are on approximately the same scale.

Additional parameters:

  • loadings.var: Factor loading prior variance
  • tau.a, tau.b: Gamma hyperparameters (scale=1/b) for factor precisions (if factor.scales=T). Default is a=b=1 (MV t w/ df=2)
  • rho.a, rho.b: Beta hyperparameters for point mass prior
  • sigma2.a, sigma2.b: Gamma hyperparameters for error precisions
  • gdp.alpha, gdp.beta: GDP prior parameters
  • mu.mean, mu.var: (Scalar) prior mean and variance for mu[j] (where E(y) = mu). Defaults are 0 and 1e4.