Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

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Documentation for package ‘factorstochvol’ version 1.0.2

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

factorstochvol-package	Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models through MCMC
comtimeplot	Plot communalities over time.
corelement	Extract "true" model-implied correlations of two series only
corimageplot	Plot correlation matrices for certain points in time
cormat	Generic extraction of correlation matrix
cormat.fsvdraws	Extract posterior draws of the model-implied correlation matrix
cormat.fsvsim	Extract "true" model-implied correlation matrix for several points in time
corplot	Plots pairwise correlations over time
cortimeplot	Plot correlations over time.
covelement	Extract "true" model-implied covariances of two series only
covmat	Generic extraction of covariance matrix
covmat.fsvdraws	Extract posterior draws of the model-implied covariance matrix
covmat.fsvsim	Extract "true" model-implied covariance matrix for several points in time
covtimeplot	Plot correlations over time.
evdiag	Plots posterior draws and posterior means of the eigenvalues of crossprod(facload)
expweightcov	Computes the empirical exponentially weighted covariance matrix
facloadcredplot	Displays bivariate marginal posterior distribution of factor loadings.
facloaddensplot	Density plots of factor loadings draws
facloadpairplot	Displays bivariate marginal posterior distributions of factor loadings.
facloadpointplot	Displays point estimates of the factor loadings posterior.
facloadtraceplot	Trace plots of factor loadings draws
findrestrict	Ad-hoc method for (weakly) identifying the factor loadings matrix
fsvsample	Markov Chain Monte Carlo (MCMC) Sampling for the Factor Stochastic Volatility Model.
fsvsim	Simulate data from a factor SV model
ledermann	Ledermann bound for the number of factors
logret	Compute the log returns of a vector-valued time series
logret.data.frame	Compute the log returns of a vector-valued time series
logret.matrix	Compute the log returns of a vector-valued time series
logvartimeplot	Plot log-variances over time.
orderident	A posteriori factor order identification
paratraceplot	Trace plots of parameter draws.
paratraceplot.fsvdraws	Trace plots of parameter draws.
plot.fsvdraws	Default factor SV plot
plotalot	Several factor SV plots useful for model diagnostics
predcond	Predicts means and variances conditionally on the factors
predcor	Predicts correlation matrix
predcov	Predicts covariance matrix
predh	Predicts factor and idiosyncratic log-volatilities h
predloglik	Evaluates the predictive log likelihood using the predicted covariance matrix
predloglikWB	Evaluates the predictive log likelihood using the Woodbury identity
predprecWB	Predicts precision matrix and its determinant (Woodbury variant)
preorder	Ad-hoc methods for determining the order of variables
print.fsvdraws	Pretty printing of an fsvsdraws object
runningcormat	Extract summary statistics for the posterior correlation matrix which have been stored during sampling
runningcovmat	Extract summary statistics for the posterior covariance matrix which have been stored during sampling
signident	A posteriori sign identification
voltimeplot	Plot series-specific volatilities over time.