ledermann

In the static factor case, the Ledermann bound is the largest
integer rank for which a unique decomposition of the covariance
matrix is possible. (This is the largest possible number of
factors which can be used for <code><a href="/link/factanal?package=factorstochvol&version=1.1.0" data-mini-rdoc="factorstochvol::factanal">factanal</a></code>.

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

ledermann function

<dl><dt>m</dt>
<dd>Number of component series.</dd></dl>

Arguments

In the static factor case, the Ledermann bound is the largest
integer rank for which a unique decomposition of the covariance
matrix is possible. (This is the largest possible number of
factors which can be used for <code><a href='https://rdrr.io/r/stats/factanal.html'>factanal</a></code>.

Ledermann bound for the number of factors — ledermann

<dl>

<dt>m</dt>
<dd>Number of component series.</dd>

</dl>

ledermann: Ledermann bound for the number of factors

Description

Usage

Value

Arguments

See Also