orderident

Object of class <code>'fsvdraws'</code>, usually resulting from a call
to <code><a rd-options="" href="/link/fsvsample?package=factorstochvol&version=0.8.1" data-mini-rdoc="factorstochvol::fsvsample">fsvsample</a></code>.

Currently only "averagemeanabs" is supported.
This mean that the factors are ordered according to their average
mean absolute loadings size.

method


<code>orderident</code> provides a (very ad-hoc) method for identifying
the ordering of the factors after running the (unrestricted) MCMC
sampler by 
ordering according to the argument <code>method</code>. Not recommended for
production code (often unstable).


Markov chain Monte Carlo (MCMC) sampler for fully Bayesian
estimation of latent factor stochastic volatility models.
Sparsity can be achieved through the usage of Normal-Gamma priors
on the factor loading matrix.

Gregor Kastner

factorstochvol

Bayesian Estimation of (Sparse) Latent Factor Stochastic
Volatility Models

orderident function

Object of class <code>'fsvdraws'</code>, usually resulting from a call
to <code><a rd-options='' href='fsvsample'>fsvsample</a></code>.

orderident: A posteriori factor order identification

Description

Usage

Arguments

Value

See Also