evdiag

<code>evdiag</code> computes, returns, and visualizes the eigenvalues of crossprod(facload).
This can be used as a rough guide to choose the numbers of factors in a model.

Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving <doi:10.1080/10618600.2017.1322091>. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.

Gregor Kastner

factorstochvol

Bayesian Estimation of (Sparse) Latent Factor Stochastic
Volatility Models

Darjus Hosszejni

Luis Gruber

evdiag function

<dl><dt>x</dt>
<dd>Object of class <code>'fsvdraws'</code>, usually resulting from a call
to <code>fsvsample</code>.</dd></dl>

Arguments

Plots posterior draws and posterior means of the eigenvalues of crossprod(facload) — evdiag

<dl>

<dt>x</dt>
<dd>Object of class <code>'fsvdraws'</code>, usually resulting from a call
to <code>fsvsample</code>.</dd>

</dl>

evdiag: Plots posterior draws and posterior means of the eigenvalues of crossprod(facload)

Description

Usage

Value

Arguments

See Also