In factor SV models, the ordering of variables is often
chosen through a preliminary static factor analysis. These
methods are implemented in preorder.
After a maximum likelihood factor model fit to the data,
factor loadings are ordered as follows: The variable with the
highest loading on factor 1 is placed first, the variable with
the highest loading on factor 2 second (unless this variable
is already placed first, in which case the variable with the
second highest loading is taken).
preorder(
dat,
factors = ledermann(ncol(dat)),
type = "fixed",
transload = identity
)A vector of length m with the ordering found.
Matrix containing the data, with n rows
(points in time) and m columns (component series).
Number of factors to be used, defaults to the Ledermann bound.
Can be "fixed" or "dynamic". The option "fixed"
means that that a factors-factor model is fit once and
the entire ordering is determined according to this fit
(the default). The option "dynamic" means that
the model is re-fit factors times with the number of
factors going from 1 to
factors and in each round the correspondingly largest
loading is chosen.
Function for transforming the estimated factor loadings before ordering. Defaults to the identity function.
ledermann